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A rank-dependent utility model of uncertain lifetime, time consistency and li...
In a continuous time life cycle model of consumption with uncertain lifetime and no ''pure time preference", we use a non-parametric specification of rank dependent... -
An Investigation of Time Consistency for Subjective Discontinued Utility
A well-known common agreement in decision theory is that only exponential decision makers are time consistent i.e. with the mere passage of time, future choices must... -
Time-Consistency: from Optimization to Risk Measures
Stochastic optimal control is concerned with sequential decision-making under uncertainty. The theory of dynamic risk measures gives values to stochastic processes...
