Based on unique panel data from a five-wave internet survey in Japan, we show how the coronavirus disease 2019 pandemic affected people’s prospect-theory risk preferences, especially in the loss domain. The panel analysis indicates that with the spread of the pandemic, diminishing sensitivity...

The standard Bayesian model implies that information can never have a negative value. We put this implication to the proof. Our paper provides the first test of the value (positive or negative) of information under uncertainty. We show that the "Bayesian implication" stands in conflict with the...

In this paper we use the property that certainty equivalence, as implied by a first-order approximation to the solution of stochastic discrete-time models, breaks in its equivalent continuous-time version. We study the extent to which a first-order approximated solution built by perturbation...

We provide a characterization of comparative weak risk aversion and comparative RDEU risk aversion for RDEU preferences and, in particular, we correct a claim made by Quiggin (1993) regarding comparative RDEU risk aversion. We then apply the analysis of comparative risk aversion to a problem of...

We present a novel descriptive model of choice that achieves an efficient representation anchored to how the brain represents value. An individual's behavior is fully described by two primitives: an individual's "reward expectation'' and a free parameter we call "predisposition''. We demonstrate...

Recent research on real options does not only consider optimal investment decisions under risk, but also under ambiguity. However, most models that allow for ambiguity are generally not dynamically consistent. Examples are, among others, the $\alpha$-MEU model, the imprecision aversion model, or...

A prominent approach to modelling ambiguity about stock return distribution is to assume that investors have multiple priors about the distribution and these priors are distributed according to a certain second-order distribution. Realistically, investors may also have multiple priors about the...