Downside and deviation risk measures are becoming more and more important in many disciplines with clear interfaces with Applied Mathematics and Operations Research. Their dual representations have played critical roles in most of their applications (risk management, portfolio selection, pricing...

We introduce a new and complete ordering of prospects that is consistent with stochastic dominance (SD). Featuring loss aversion and skewness preference, it mitigates the low discriminatory power of SD and circumvents implementation difficulties associated with third order SD. To highlight its...

A representative investor does not know which member of a set of well-defined parametric "structured models'' is best. The investor also suspects that all of the structured models are misspecified. These uncertainties about probability distributions of risks give rise to components of...

This paper examines experiments on interdependent security prisoner's dilemma games with repeated play. By utilizing a Bayesian hierarchical model, we examine how subjects make investment decisions as a function of their previous experience and their treatment condition. Our main findings are...

Random choice as the outcome of deliberate randomization has been extensively documented in the recent experimental economics literature.Motivated by this evidence, we consider a decision-maker (DM) who faces a set of risky actions and can delegate his choice to a randomization device. We assume...

Decisions can be risky or riskless, depending on the outcomes of the choice. Expected Utility Theory describes risky choices as a utility maximization process: we choose the option with the highest utility, which we compute considering both the value of the option and its associated risk....

Following the risk-taking model of Seel and Strack, n players decide when to stop privately observed Brownian motions with drift and absorption at zero. They are then ranked according to their level of stopping and paid a rank-dependent reward. We study the problem of a principal who aims to...

We analyze the impact of risk and ambiguity aversion using a lifecycle recursive utility model. Both risk and ambiguity aversion are shown to reduce annuity demand and enhance bond holdings. We obtain this result using an intertemporal framework in which we can vary both risk and ambiguity...