Climate change is a phenomenon beset with major uncertainties and researchers should include them in Integrated Assessment Models. However, including further dimensions in IAM models comes at a cost. In particular, it makes most of these models suffer from the curse of dimensionality. In this...

In this work we solve in a closed form the problem of an agent who wants to optimise the inter-temporal utility of both his consumption and leisure by choosing: (i) the optimal inter-temporal consumption, (ii) the optimal inter-temporal labour supply, (iii) the optimal share of wealth to invest...

We investigate what it means for one act to be more ambiguous than another. The question is evidently analogous to asking what makes one prospect riskier than another, but beliefs are neither objective nor representable by a unique probability. Our starting point is an abstract class of...

Optimal portfolio rules are derived under uncertainty aversion by formulating the portfolio choice problem as a robust control problem. The robust portfolio rule indicates that the total holdings of risky assets as a proportion of the investor's wealth could increase as compared to the holdings...

Longitudinal experiments allow one to evaluate the temporal stability of latent preferences, but raise concerns about sample selection and attrition that may confound inferences about temporal stability. We evaluate the hypothesis of temporal stability in risk preferences using a remarkable data...

The relationships among the Hamiltonian, NNP, and the level of sustainable consumption/utility have been widely misunderstood. This paper dispels the misconceptions and provides further new insight into these relationships. We show generally that for autonomous dynamic optimizing economies, a...

In this paper, we provide a real options model framing prosumers' investment in photovoltaic plants. This is presented in a Smart Grid context where the exchange of energy among prosumers is possible. We determine the optimal size of the photovoltaic installations based on the influence the...

Optimal R&D investment is defined by deep uncertainty that can only partially be addressed through historical data. Thus, expert judgments expressed as subjective probability distributions are seen as an alternative way of assessing the potential of new technologies. In this paper we propose a...

Uncertainty plays a key role in the economics of climate change, and the discussions surrounding its implications for climate policy are far from settled. We give an overview of the literature on uncertainty in integrated assessment models of climate change and identify some future research...

In this paper a real option model is developed to examine the critical factors affecting the decision to lease agricultural land to a company installing a PV power plant. The leasing payment is certain while the net revenues from agriculture are uncertain. We identify the profit values at which...