We find the asymptotics of the value function maximizing the expected utility of discounted dividend payments of an … initial reserves tend to infinity. We focus on the power and logarithmic utility functions. We also perform some numerical …

We present a preference foundation for Chance Theory (CT), a model of decision making under uncertainty where the … and the potential increments over it are evaluated by subjective expected utility with a risky utility function u. In … contrast to earlier approaches with models that aimed at separating riskless and risky utility, CT does not violate basic …

uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases … investors' effective risk aversion. Using this utility function, we extend the "no good deals" methodology of Cochrane and Saá … some numerical examples. -- asset pricing theory ; good-deal bounds ; Knightian uncertainty ; model uncertainty …