We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA …) utility functions. We illustrate the consequences of this result for asset allocation: poor agents that are uncertain about …

recursive utility models postulated by Epstein and Zin (1989). The conditions center on a single test value with a natural …

incorporating (the level of) absolute wealth in the individual's utility function. …

We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus … (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the continuous …

on a consumption amount rather than on utility. Second, the agent is allowed to trade his lottery outcome to optimize his …

, or temperate) von Neumann-Morgenstern utility functions. The very idea to devise those conditions is based on the reverse … claim of an old observation by Arrow that a risk-averse expected-utility maximizer will always accept a sufficiently small … stake in any positive expected-value bet if her von Neumann-Morgenstern utility function is differentiable …

A model of choice under purely subjective uncertainty, Piecewise Additive Choquet Expected (PACE) utility, is … introduced. PACE utility allows for optimism and pessimism simultaneously, but represents a minimal departure from expected … utility. It can be seen as a continuous version of NEO-expected utility (Chateauneuf et al, 2007) and, as such, is especially …

Neumann-Morgenstern expected utility functions using cooperative game theory. The social network literature studies various … measures can be supported as von Neumann-Morgenstern expected utility functions, reflecting preferences over different network … cooperative TU-games to give a utility foundation of a class of TU-game solutions containing the Shapley value. …

a utility gradient inequality for continuous-time recursive utility in the Epstein-Zin parametrization with relative …