In this paper we characterize the preferences of a pessimistic social planner concerned with the potential costs of extreme, low-probability climate events. This pessimistic attitude is represented by a recursive optimization criterion à la Hansen and Sargent (1995) that introduces...

We discuss how Whittle's (Whittle, 1990) approach to risk-sensitive optimal control problems can be applied in economics and finance. We show how his analysis of the class of Linear Exponential Quadratic Gaussian problems can be extended to accommodate time-discounting, while preserving its...

We study a generalization of Kyle's (1985) model to the case in which the specialist is risk-averse and does not set the transaction price according to semi-strong form efficiency. We see that Kyle's call auction market is no longer a robust market structure, as linear Bayesian equilibria do not...

We extend Kyle's (Kyle, 1985) analysis of sequential auction markets to the case in which a risk-averse insider possesses private information on the liquidation value of a number of risky assets. We confirm: i) in a multi-asset setting, Holden and Subrahmanyam's counter-intuitive result that...

In this paper we present a dynamic discrete-time model that allows to investigate the impact of risk-aversion in an oligopoly characterized by a homogeneous non-storable good, sticky prices and uncertainty. Our model nests the classical dynamic oligopoly model with sticky prices by Fershtman and...