Robust identification of investor beliefs
This paper develops a method informed by data and models to recover information about
investor beliefs. Our approach uses information embedded in forward-looking asset prices in …
investor beliefs. Our approach uses information embedded in forward-looking asset prices in …
Time lotteries and stochastic impatience
We study preferences over lotteries in which both the prize and the payment date are
uncertain. In particular, a time lottery is one in which the prize is fixed but the date is random …
uncertain. In particular, a time lottery is one in which the prize is fixed but the date is random …
Intertemporal correlation aversion—a model-free measurement
Decisions with risky consequences at multiple points in time are driven not only by risk
attitudes and time preferences but also by attitudes toward intertemporal correlation (ie, the …
attitudes and time preferences but also by attitudes toward intertemporal correlation (ie, the …
Recursive preferences, correlation aversion, and the temporal resolution of uncertainty
LM Stanca - arXiv preprint arXiv:2304.04599, 2023 - arxiv.org
This paper investigates a novel behavioral feature exhibited by recursive preferences:
aversion to risks that are persistent through time. I introduce a formal notion of correlation …
aversion to risks that are persistent through time. I introduce a formal notion of correlation …
Intertemporal consumption with risk: A revealed preference analysis
We run an experiment to elicit preferences over state-contingent timed payouts. We analyze
the data using a newly revealed preference method (building on Nishimura et al., 2017) that …
the data using a newly revealed preference method (building on Nishimura et al., 2017) that …
A theory of choice bracketing under risk
M Zhang - Proceedings of the 22nd acm conference on …, 2021 - dl.acm.org
Decision makers in the real world usually face multiple risky choice problems. For instance,
an investor might need to take care of her investment accounts simultaneously in different …
an investor might need to take care of her investment accounts simultaneously in different …
Value of life and annuity demand
S Pashchenko, P Porapakkarm - Journal of Risk and Insurance, 2022 - Wiley Online Library
How does the value of life affect annuity demand? To address this question, we construct a
portfolio choice problem with three key features:(i) agents have access to life‐contingent …
portfolio choice problem with three key features:(i) agents have access to life‐contingent …
Aggregate risk and the Pareto principle
NI Al-Najjar, L Pomatto - Journal of Economic Theory, 2020 - Elsevier
In the evaluation of public policies, a crucial distinction is between plans that involve purely
idiosyncratic risk and those that generate correlated, or aggregate, risk. While natural, this …
idiosyncratic risk and those that generate correlated, or aggregate, risk. While natural, this …
[PDF][PDF] Disentangling Risk and Other-Regarding Preferences
P Feldman, K López Vargas - Available at SSRN 4319590, 2023 - aeaweb.org
We present a theoretical framework to study risk and other-regarding preferences jointly.
The model can explain the main behavioral patterns in the combined domain and is the first …
The model can explain the main behavioral patterns in the combined domain and is the first …
[PDF][PDF] Procedural Expected Utility
M Zhang - 2023 - mu-zhang.com
This paper studies procedures a decision maker adopts to evaluate twodimensional risk.
She might either follow the standard expected utility model and treat risk in different …
She might either follow the standard expected utility model and treat risk in different …