Research Papers on Decision Theory
- “Scale or Translation Invariant Additive Preferences.” This working paper has been subsumed by Appendix A of Theoretical Foundations of Asset Pricing.
- “Dynamic Choice with Constant Source-Dependent Relative Risk Aversion,” Economic Theory, 2015, 3, 393–422.
- “Smooth Ambiguity Aversion Toward Small Risks and Continuous-Time Recursive Utility,” Journal of Political Economy, 2013, 4, 775–792. You can experiment with the code that generates the examples of Section 2 by copying and pasting this Scala program into this web page, or this F# program into this web page. Equivalent Python program and a purely functional Haskell version.
- “Scale-Invariant Uncertainty Averse Preferences and Source-Dependent Constant Relative Risk Aversion,” Theoretical Economics, 2013, 8, 59–93.
- “Robust Control and Recursive Utility,” Finance and Stochastics , 2003, 7, 475–489.
- “Recursive Utility and Preferences for Information,” Economic Theory, 1998, 12, 293–312.
- “Conditioning and Aggregation of Preferences,” Econometrica, 1997, 65, 347–367.
- “Subjective Probability under Additive Aggregation of Conditional Preferences,” , Journal of Economic Theory, 1997, 76, 242–271.
- “Infinite-Horizon Stochastic Differential Utility,” App. to D. Duffie and L. Epstein, “Stochastic Differential Utility,” Econometrica, 1992, 60, 387–392.