We analyze optimal consumption, including pensions, during the life time of a consumer using the life cycle model, when the consumer has recursive utility. The model framework is that of continuous-time with diffusion driven uncertainty. The relationship between substitution of consumption and...

Banks are creatures of the market and creatures of the state. The call to reconceive banks as public utilities requires a critical redefinition, both of banks and of public utilities. Part of that redefinition must include naming the values and ends that bank regulation ought to serve. The...

Prospect theory shows that human behavior in decision making can often be characterized by an S-shaped utility function. In this paper, we consider a periodic review inventory system with an exponential-type S-shaped utility function. The objective is to maximize the total expected utility over...

In this paper we are concerned with the following question. Given an extended preference ordering under what conditions does there exist an empirical stochastic/social choice function which generates it? We use Farkas' lemma to obtain a necessary and sufficient condition under which such a...

This paper addresses whether and to what extent econometric methods used in experimental studies can be adapted and applied to financial data to detect the best-fitting preference model. To address the research question, we implement a frequently used nonlinear probit model in the style of Hey...

This paper provides a brief review of the connecting literature in management science, economics and finance, and discusses some research that is related to the three disciplines. Academics could develop theoretical models and subsequent econometric models to estimate the parameters in the...