Introduction Propose and provide foundations for a preference model set in an explicitly dynamic framework with uncertainty where: DM is sensitive to ambiguity ambiguity attitude is separated from ambiguity ‡exibility in ambiguity attitude and in scope of ambiguity preferences are dynamically consistent discounted expected utility is a special case beliefs are updated over time

We show that a bargaining game of alternating offers with exogenous risk of breakdown and played by dynamically consistent non-expected utility maximizers is formally equivalent to Rubinstein’s (1982) game with time preference. Within this game, the behavior of dynamically consistent players is indistinguishable from the behavior of expected utility maximizers. Journal of Economic Literature Cl...

The rst section recalls the de nitions of risk apportionment. Section 2 introduces notation and section 3 de nes ambiguity apportionment. Section 4 gives results for secondorder expected utility and multiplier preferences and in section 5, a way to adapt the de nitions to ambiguity models with non-expected utility under risk is proposed. Finally, section 6 presents simple models of precautionar...

We study the problem where a task (or multiple unrelated tasks) must be executed, there are multiple machines/agents that can potentially perform the task, and our objective is to minimize the expected sum of the agents’ processing times. Each agent does not know exactly how long it will take him to finish the task; he only knows the distribution from which this time is drawn. These times are i...

In this work, we are interested in capacities which are deformations of probability i.e v = f ◦ P . We characterize balanced, totally balanced, exact and convex capacities, by properties concerning the probability transformation function, f . We also give the explicit expression, in the case of a convex capacity v = f ◦ P , of a probability in the core of v which coincides with v on a given fin...

This paper re-examines precautionary saving with general Selden/Kreps-Porteus preferences. The conditions existing in the literature are much more complex than in the Expected Utility framework. We obtain a simple and intuitive result on precautionary savings via disentangling time preference and risk preference effects.

On average, “young”people underestimate whereas “old”people overestimate their chances to survive into the future. We adopt a Bayesian learning model of ambiguous survival beliefs which replicates these patterns. The model is embedded within a non-expected utility model of life-cycle consumption and saving. Our analysis shows that agents with ambiguous survival beliefs (i) save less than origin...

We study agents whose expected utility preferences are interdependent for informational or psychological reasons. We characterize when two types can be “strategically distinguished” in the sense that they are guaranteed to behave differently in some finite mechanism. We show that two types are strategically distinguishable if and only if they have different hierarchies of interdependent prefere...

The paper exammes the optimal behavior of a smgle dealer who 1s faced with a stochastic demand to trade (modeled by a continuous time Pmsson Jump process) and facmg return risk on his stock and on the rest of his portfolio (modeled by diffusion processes). Usmg stochastic dynamic programmmg, we dertve the optimal bid and ask prices that maxnmze the dealer’s expected utility of termmal wealth as...