We consider superhedging and no-arbitrage pricing in markets with a convex and cash-additive structure and derive an explicit functional form for the super-replication price. Using convex duality methods, we show that the superhedging price maximizes the difference between the expected payoff...

We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal consumption problem, proving the existence and...

We study endogenous, credit-financed innovation under uncertainty in dynamic contexts. In our model, a firm with limited cash reserves decides how much to invest in an R&D project, potentially using external financing. Investing more increases the probability of a sooner innovation, but higher...

Foster and Hart propose a measure of riskiness for discrete random variables. Their defining equation has no solution for many common continuous distributions. We show how to extend consistently the definition of riskiness to continuous random variables. For many continuous random variables, the...

We study a dynamic and infinite–dimensional model with incomplete multiple prior preferences. In interior efficient allocations, agents share a common risk–adjusted prior and subjective interest rate. Interior efficient allocations and equilibria coincide with those of economies with...