This paper conducts a laboratory experiment to assess the optimal portfolio allocation under quantile preferences (QP) and compare the model's predictions with those of the expected utility theory using a mean-variance (MV) utility function. We estimate the risk aversion coefficients associated...

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...

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

This paper shows the robust non existence of competitive equilibria even in a simple three period representative agent economy with dynamically inconsistent preferences. We distinguish between a sophisticated and naive representative agent. Even when underlying preferences are monotone and...

This paper axiomatizes static and dynamic quantile preferences. Static quantile preferences specify that a prospect should be preferred if it has a higher τ-quantile, for some τ ∈ (0,1), while its dynamic counterpart extends this to take into account a sequence of decisions and information...