This paper derives several novel properties of conditional quantiles viewed as nonlinear operators. The results are organized in parallel to the usual properties of the expectation operator. We first define a τ-conditional quantile random set, relative to any sigma-algebra, as a set of...

This paper studies the dynamic quantile model for intertemporal decisions under uncertainty, in which the decision maker maximizes the τ-quantile, for τ ∈ (0, 1) of the stream of future utilities. We present two sets of contributions. First, we generalize existing results in directions that...

The elicitation of the elasticity of intertemporal substitution (EIS), discount factor, and risk attitude parameters in dynamic models is of central importance to economics, finance and public policy. This paper suggests an alternative method to jointly elicit and estimate these three parameters...

This paper uses a consumption-based dynamic quantile preference model to estimate the elasticity of intertemporal substitution (EIS) across different levels of risk attitude. In the quantile model, the risk attitude is captured by the quantile and is, therefore, separable from the EIS. This is...