This paper introduces new core and Walrasian equilibrium notions for an asymmetric information economy with non-expected utility preferences. We prove existence and incentive compatibility results for the new notions we introduce.

This paper introduces new core and Walrasian equilibrium notions for an asymmetric information economy with non-expected utility preferences. We prove existence and incentive compatibility results for the new notions we introduce.

This paper develops a model for optimal portfolio allocation for an investor with quantile preferences, i.e., who maximizes the τ-quantile of the portfolio return, for τ ∈ (0,1). Quantile preferences allow to study heterogeneity in individuals' portfolio choice by varying the quantiles, and...

This paper conducts a laboratory experiment to assess the optimal portfolio allocation under quantile preferences (QP) and compare the model's predictions with those of the expected utility theory using a mean-variance (MV) utility function. We estimate the risk aversion coefficients associated...