In selecting the preferred course of action, decision makers are often uncertain about one or more probabilities of interest. The experimental literature has ascertained that this uncertainty (ambiguity) might affect decision makers’ preferences. Then, the decision maker might wish to...

This paper explores the differences in observed risk propensity among petroleum firms and their impact on firm performance. In this work, we (1) develop a decision theoretic model which measures a firm's risk propensity in the form of an "implied" utility function; (2) investigate changes in...

This paper relates recursive utility in continuous time to its discrete-time origins and provides a rigorous and intuitive alternative to a heuristic approach presented in [Duffie, Epstein 1992], who formally define recursive utility in continuous time via backward stochastic differential...