I propose techniques for estimating value distributions for auctions with an uncertain number of bidders and test those techniques on auctions conducted in the lab. I estimate Bayes-Nash models with risk neutrality and risk aversion, a learning model, the Quantal Response Equilibrium model, and...

Expected utility is an influential theory to study rational choice among risky assets. For each investment, an economic agent expects to receive a random payoff and therefore optimizes its expected utility. To the best of our knowledge, there exists no general procedure to take the derivative of...

Recently, much attention has been devoted to the measurement of macroeconomic (expectation) uncertainty and its impact on aggregate economic fuctuations. This paper presents a new qualitative measure of macroeconomic expectation uncertainty based on data from a German online survey of consumer...

Loss aversion, risk aversion, and the probability weighting function (PWF) are three central concepts in explaining decisionmaking under risk. I examine interlinkages between these concepts in a model of decisionmaking that allows for loss averse/tolerant stochastic reference dependence and...

We study a dynamic portfolio selection problem in which an agent trades a stock and a risk-free asset with the objective of maximizing the rank-dependent utility of her wealth at the terminal time of the investment horizon. Due to time inconsistency, we consider three types of agents,...