This paper explores the application of contingent claims analysis (CCA) to two quot;hotquot; issues in life-cycle finance: (1) investing for retirement and (2) deciding when, if ever, to switch careers. Participants in individual retirement accounts do not have the time or the knowledge to make...

We study orders of risk and model uncertainty aversion in the smooth ambiguity model proposed by Klibanoff, Marinacci, and Mukerji (2005). We consider a quadratic approximation of their model and we show that both risk and model uncertainty attitudes have at most a second order effect....

We derive the analogue of the classic Arrow-Pratt approximation of the certainty equivalent under model uncertainty as defined by the smooth model of decision making under ambiguity of Klibanoff, Marinacci and Mukerji (2005). We study its scope via a portfolio allocation exercise that delivers a...

This paper examines strategic investment in the context of a duopolistic continuous-time real options game. Our contribution is twofold, economic and methodological. The former is the recognition that, under fixed costs of investment and time-to-build, the firm pays a fraction of the implicit...