This paper looks at a general framework for mean-field games with ambiguity averse players based on the probabilistic framework described in Carmona (2013). A framework for mean-field games with ambiguity averse players is presented, using a version of the stochastic maximum principle to find...

Evidence shows that (i) people overweight low probabilities and underweight high probabilities, but (ii) ignore events of extremely low probability and treat extremely high probability events as certain. The main alternative decision theories, rank dependent utility (RDU) and cumulative prospect...

We establish a class of fully nonlinear conditional expectations. Similarly to the usage of linear expectations when a probabilistic description of uncertainty is present, we observe analogue quantitative and qualitative properties. The type of nonlinearity captures the agents sentiments of...

We propose a novel framework for the economic assessment of climate-change policy. Our main point of departure from existing work is the adoption of a "satisficing", as opposed to optimizing, modeling approach. Along these lines, we place primary emphasis on the extent to which different...

We show that Risk parity and risk-based models in general can be rationalized as an optimal decision under ambiguity. Risk-based framework represents an extension of Maximum diversification approach of Choueifaty and Coignard (2008) in the presence of ambiguity in risk-adjusted expected returns

Among the most popular models for decision under risk and uncertainty are the rank-dependent models, introduced by Quiggin and Schmeidler. Central concepts in these models are rank-dependence and comonotonicity. It has been suggested in the literature that these concepts are technical tools that...

We propose a novel framework for the economic assessment of climate-change policy. Our main point of departure from existing work is the adoption of a "satisficing", as opposed to optimizing, modeling approach. Along these lines, we place primary emphasis on the extent to which different...

Climate change is predicted to substantially alter forest growth. Optimally, forest owners should take these future changes into account when making rotation decisions today. However, the fundamental uncertainty surrounding climate change makes predicting these shifts hard. Hence, this paper...

The alpha-maxmin model is a prominent example of preferences under Knightian uncertainty as it allows to distinguish ambiguity and ambiguity attitude. These preferences are dynamically inconsistent for nontrivial versions of α. In this paper, we derive a recursive, dynamically consistent...

The aim of this paper is to develop some measure-theoretic methods for the study of large economic systems with individual-specific randomness and multiple optimal actions. In particular, for a suitably formulated continuum of correspondences, an exact version of the law of large numbers in...