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...

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...

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...

We propose a general framework for the analysis of dynamic optimization with risk-averse agents, extending Whittle's (Whittle, 1990) formulation of risk-sensitive optimal control problems to accommodate time-discounting. We show how, within a Markovian set-up, optimal risk-averse behavior is...

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...