We review some of the (theoretical) economic implications of David Schmeidler's models of decision under uncertainty (Choquet expected utility and maxmin expected utility) in competitive market settings. We start with the portfolio inertia result of Dow and Werlang (1992), show how it does or...

In this paper we discuss the level set method of Joo and how to use it to give an elementary proof of the well-known Sion's minimax result. Although this proof technique is initiated by Joo and based on the inter-section of upper level sets and a clever use of the topological notion of...

Policy makers must often cope with circumstances where there is no consensual scientific model of the matter under consideration. We formally represent this situation as one of handling a robust optimization problem. This provides a framework to rigorously compare some commonly used approaches...

In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple priors, we prove existence and uniqueness of the optimal investment plan, and derive necessary and sufficient...

We study a robust monopoly pricing problem with a minimax regret objective, where a seller endeavors to sell multiple goods to a single buyer, only knowing that the buyer's values for the goods range over a rectangular uncertainty set. We interpret this pricing problem as a zero-sum game between...