One of the most well-known models of non-expected utility is Gul (1991)'s model of Disappointment Aversion. This model …, however, is defined implicitly, as the solution to a functional equation; its explicit utility representation is unknown …

marginal utility for wealth necessarily is facilitated by a risk premium function that only robustly is parameterized with …

-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the investment …

The problems of non-concave utility maximization appear in many areas of finance and economics, such as in behavior … economics, incentive schemes, aspiration utility, and goal-reaching problems. Existing literature solves these problems using … the concavification principle. We provide a framework for solving non-concave utility maximization problems, where the …

The mean-variance utility postulates that random variables with the same mean and variance should be equally desirable …-variance utility in which any condition on variances but mean-values is not explicitly specified. Furthermore, we investigate necessary … and sufficient axioms for four types of additively separable forms of mean and variance in the utility representation …