We analyze the Foster-Hart measure of riskiness for general distributions in dynamic settings. The Foster-Hart measure avoids bankruptcy in the long run. It is not time-consistent.

Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is only possible if all discounted net trades of the...

We introduce a notion of subgames for stochastic timing games and the related notion of subgame-perfect equilibrium in possibly mixed strategies. While a good notion of subgame-perfect equilibrium for continuous-time games is not available in general, we argue that our model is the appropriate...

Experimental evidence stresses the importance of so–called social preferences for understanding economic behavior. Social preferences are defined over the entire allocation in a given economic environment, and not just over one’s own consumption as is traditionally presumed. We study the...

We model and solve Best Choice Problems in the multiple prior framework: An ambiguity averse decision maker aims to choose the best among a fixed number of applicants that appear sequentially in a random order. The decision faces ambiguity about the probability that a candidate a relatively top...

In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming approach, we exploit the concavity of the...

Ambiguity can be used as a strategic device in some situations. To demonstrate this, we propose and study a framework for normal form games where players can use Knightian uncertainty strategically. In such Ellsberg games, players may use Ellsberg urns in addition to the standard objective mixed...

In a recent paper, Jäger, Metzger, and Riedel (2011) study communication games of common interest when signals are simple and types complex. They characterize strict Nash equilibria as so–called Voronoi languages that consist of Voronoi tesselations of the type set and Bayesian estimators on...

This paper studies the evolutionary stability of the unique Nash equilibrium of a first price sealed bid auction. It is shown that the Nash equilibrium is not asymptotically stable under payoff monotonic dynamics for arbitrary initial popu- lations. In contrast, when the initial population...

We study a dynamic and infinite-dimensional model with Knightian uncertainty modeled by incomplete multiple prior preferences. In interior efficient allocations, agents share a common risk-adjusted prior and use the same subjective interest rate. Interior efficient allocations and equilibria...