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...

We analyze identification of nonseparable models under three kinds of exogeneity assumptions weaker than full statistical independence. The first is based on quantile independence. Selection on unobservables drives deviations from full independence. We show that such deviations based on quantile...

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...