Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Stanca, Lorenzo"'
We represent preferences that exhibit absolute or relative attitudes towards ambiguity without assuming convexity of preferences. Our analysis is motivated by the recent experimental evidence by Baillon and Placido (2019) indicating that ambiguity be
Externí odkaz:
http://arxiv.org/abs/2406.01343
Autor:
Cerreia-Vioglio, Simone, Maccheroni, Fabio, Marinacci, Massimo, Montrucchio, Luigi, Stanca, Lorenzo
This paper presents a general study of one-dimensional differentiability for functionals on convex domains that are not necessarily open. The local approximation is carried out by affine functionals, rather than linear ones as in standard Gateaux dif
Externí odkaz:
http://arxiv.org/abs/2403.07827
We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the mean-field ve
Externí odkaz:
http://arxiv.org/abs/2402.07698
We study the implications of recursivity and state monotonicity in intertemporal consumption problems under ambiguity. We show that monotone recursive preferences admit a recursive and ex-ante representation, both with translation invariant certainty
Externí odkaz:
http://arxiv.org/abs/2304.06830
Autor:
Stanca, Lorenzo Maria
This paper investigates a novel behavioral feature exhibited by recursive preferences: aversion to risks that are persistent through time. I introduce a formal notion of correlation aversion to capture this phenomenon and provide a characterization b
Externí odkaz:
http://arxiv.org/abs/2304.04599
We provide a Sandwich Theorem (K\"onig (1972)) for positively homogeneous functionals that satisfy additivity only on a restricted domain. Our relaxation of additivity is based on a binary relation called convex-conic symmetric preorder, whereby addi
Externí odkaz:
http://arxiv.org/abs/2304.02818
Publikováno v:
In Journal of Economic Theory January 2022 199
