We give a full characterization of the continuation and stopping regions of optimal stopping of diffusions. We consider separately the case of a naive agent who is unaware of the possible time inconsistency in her behavior and the case of a sophisticated agent who is fully aware of such an...

This paper investigates experimentally whether risk attitudes are stable across social contexts. In particular, it focuses on situations where some resource (for instance, a position, decision power, a bonus) has to be allocated between two parties: the decision maker can either opt for sharing...

We analyze a continuous-time stochastic control problem that arises in the study of several important issues in financial economics. An agent controls the drift and volatility of a diffusion output process by dynamically selecting one of an arbitrary (but finite) number of projects and the...

Our paper conducts laboratory experiments with the sequential search model to test whether participants engage in search activities in line with theoretical predictions derived from the expected utility model or the reference-dependent model, without assuming any specific formulation rule for a...

This paper studies the relationship between mutual fund manager investment horizons and managerial risk-taking decisions. I find that in general mutual funds reporting longer maximum evaluation horizons have lower risk levels. The low risk levels helped these funds mitigate their losses in the...

In this paper, we study the worst-case distortion risk measure when information about distortion functions is partially available. We obtain the explicit forms of the worst-case distortion functions from several different sets of plausible distortion functions. When there is no concavity...