We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. Maccheroni et al. 2006) and optimal portfolios generated by classical expected utility. As a special case we connect optimization of truncated...

This chapter reviews developments in the theory of decision making under risk and uncertainty, focusing on models that, over the last 40 years, dominated the theoretical discussions. It also surveys some implications of the departures from the “linearity in the probabilities” aspect of...

We study a general class of utility processes V(c)=(V_{t}(c)), where V_{t}(c), a dynamic utility operator, is a decision criterion that quantifies a decision maker's evaluation of uncertain consumption streams c. We call this dynamic utility operator robust and its distinctiveness is that it...