Working in a complete-markets setting, a property of asset demands is identified that is inconsistent with the investor's preference being based on probabilities. In this way, a market counterpart of the Ellsberg Paradox is provided. Journal of Economic Literature Classification Numbers: D00, D80, D81. 2000 Academic Press

The subjective framework for reasoning is extended to incorporate the representation of unawareness in games. Both unawareness of actions and decision makers are modeled as well as reasoning about others’ unawareness. It is shown that a small grain of uncertainty about unawareness with rational decision makers can lead to cooperation in the finitely repeated prisoner’s dilemma. JEL Classificati...

The measure approach represents a preference relation over functions by the measure of Ž . their epigraphs or hypographs . This paper proves a measure representation theorem for a class of increasing functions and shows how its proof can be modified to yield another measure representation theorem for functions of bounded variation. q 1998 Elsevier Science B.V. JEL classification: D81

People are sometimes risk-averse in gains but risk-loving in losses. Such behavior and other anomalies underlying prospect theory arise from a model of local status maximization in which consumers compare their wealth with other consumers of similar wealth. This social explanation shares key features with the psychological explanation offered by Kahneman and Tversky. JEL Classification: D81, D11

A new non-parametric method to estimate a decision maker's coefficient of absolute risk aversion from observed economic behaviour is explained. The method uses the expected value-variance (E-V) framework and quadratic programming. An empirical illustration is given using Norwegian farm-level data. © 2002 Elsevier Science B.V. All rights reserved. JEL classification: Q12; D81

Approximate Incremental Value-at-Risk formulae provide an easy-to-use preliminary guideline for risk allocation. Both the cases of risk adding and risk pooling are examined and beta-based formulae achieved. Results highlight how much the conditions for adding new risky positions are stronger than those required for risk pooling. JEL classification: C13; D81; G11; G12.

We apply Pires’s coherence property between unconditional and conditional preferences that admit a CEU representation. In conjunction with consequentialism (only those outcomes on states which are still possible can matter for conditional preference) this implies that the conditional preference may be obtained from the unconditional preference by taking the Full Bayesian Update of the capacity....

I characterize a finite additive utility representation for preferences over menus. The numbers of both positive and negative components in this representation are expressed explicitly in terms of preference. These expressions can be used to characterize models of temptation, perfectionism, context effects, and other phenomena. © 2008 Elsevier Inc. All rights reserved. JEL classification: D81

We study uncertainty averse preferences, that is, complete and transitive preferences that are convex and monotone. We establish a representation result, which is at same time general and rich in structure. Many objective functions commonly used in applications are special cases of this representation. JEL classification: D81