We observe that identification of the discount rate from experimental data requires an assumption about the consumption period, the length of time over which a payment will be turned into utility-providing consumption. We show that the optimal consumption period is substantially longer than...

We show that risk-averse hyperbolic-discounting agents can benefit from positive exposure to risk and thus behave as if risk-loving. When the benefits of costly effort are delayed, selecting some risk concerning the outcome of one’s own effort can serve as an intrapersonal commitment device...

In spite of their importance, third or higher moments of portfolio returns are often neglected in portfolio construction problems due to the computational difficulties associated with them. In this paper, we propose a new robust mean–variance approach that can control portfolio skewness and...

In this note we show the following result of Dybvig (1995) is valid for a general von Neumann–Morgenstern utility function: for an agent who does not tolerate a decline in consumption, the optimal investment out of discretionary wealth (in excess of the perpetuity value of current consumption)...

We identify the conditions where robust mean–variance preferences, which capture ambiguity aversion, are observationally nonequivalent to subjective mean–variance preferences. Conversely, we also provide an example showing that observational equivalence holds regardless of the degree of...

This study establishes necessary conditions for Almost Stochastic Dominance criteria of various orders. These conditions take the form of restrictions on algebraic combinations of moments of the probability distributions in question. The relevant set of conditions depends on the relevant order...

This paper analyzes gender differences in the disposition effect in an experiment based on Weber and Camerer (1998). The results emphasize that female investors realize less capital losses, have significantly higher disposition effects and are more loss averse than men.

We consider a life-cycle model with bequest motives, and assume that the individual does not know his/her survival probability and has maxmin utility preferences; we show that it is optimal not to annuitize but to purchase pure life insurance policies instead.

Recent work about risk preferences at the micro level mainly finds that changes in liquid wealth over time do not affect or have a positive effect on the liquid risky asset share. This paper embeds riskless noncapital income in standard portfolio choice models, and shows that exogenous...