We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA …) utility functions. We illustrate the consequences of this result for asset allocation: poor agents that are uncertain about …

We propose a novel utility representation for preferences over risky timed outcomes. The weighted temporal utility … model generalizes many well known utility functions for intertemporal decision making under risk. A decision maker with a … weighted temporal utility function can have time consistent yet non-stationary preferences or stationary yet time inconsistent …

An expected utility based cost-benefit analysis is in general fragile to its distributional assumptions. We derive … necessary and sufficient conditions on the utility function of the expected utility model to avoid this. The conditions ensure … that expected (marginal) utility remains finite also under heavy-tailed distributional assumptions. Our results are context …