Choquet Expected Utility has become increasingly popular as a characterization of uncertainty aversion, choice under probability sub-additivity, and a preference for robustness. In each case, an optimal decision involves the evaluation of the expected utility of an action over a set of...

A simple model is provided to define and characterize Coleman's (1990) important concept of social capital. Like the physical, human and technological forms of capital, social capital can significantly impact welfare. Social capital is important because

We develop an equilibrium model of the term structure of forward prices for commodities. Our approach differs from Brennan (1991) and Schwartz (1997) and other two-factor approaches in that we do not assume an exogenous "convenience yield" process as a second factor in forward prices. Rather, we...

We develop an equilibrium model of the term structure of forward prices for commodities. Our approach differs from Brennan (1991) and Schwartz (1997) and other two-factor approaches in that we do not assume an exogenous "convenience yield" process as a second factor in forward prices. Rather, we...

This paper investigates the phenomenon of co- evolution. Co-evolution exists when behaviour evolves and agent fitness depends on the evolving behaviour of other agents. An evolutionary model where agents are located on a torus and play repeated prisoner'

Asset pricing implications for business cycle analysis David Backus, Bryan Routledge, and Stanley Zin Although the stochastic growth model has become the benchmark for business cycle analysis, many of its implications for asset prices and returns are grossly counterfactual. For example, the...

We examine international risk-sharing in economies with non-additive preferences. Examples based on the Epstein-Zin class with Chew-Dekel risk preferences in some cases exhibit quantitatively different behavior from expected utility. We explore the implications for international risk sharing and...

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems particularly acute for derivative markets where traders rely heavily on a specific empirical model. Asset pricing and trading, in these cases, are intrinsically model dependent....