Research


Working Papers

Behavioral Characterizations of Naivete for Time-Inconsistent Preferences, with David Ahn, Ryota Iijima, and Yves Le Yaouanq, July 2018. (Revise and resubmit, Review of Economic Studies)

Behavioral definitions of naivete and sophistication, and comparative measures of naivete. Think Arrow-Pratt, but for naivete instead of risk aversion. We show that our definitions yield tight parametric restrictions for the random Strotz model of time inconsistency, which includes hyperbolic, quasi-hyperbolic, and random quasi-hyperbolic discounting as special cases.
Previous versions: June 2015, November 2016.


Naivete about Temptation and Self-Control: Foundations for Recursive Naive Quasi-Hyperbolic Discounting, with David Ahn and Ryota Iijima, February 2018. (Revise and resubmit, Journal of Economic Theory)

Behavioral definitions of naivete that can be applied to the Gul-Pesendorfer model of temptation and self-control. Unlike the Strotzian model, the self-control representation is continuous and can be applied recursively. We use our approach to axiomatically characterize recursive naive quasi-hyperbolic discounting.



This paper uses a special case of mixture-averse preferences to study equilibrium portfolio choice and asset returns. We solve the dynamic stochastic general equilibrium of a calibrated economy and show that the model can generate endogenous heterogeneity in equilibrium stock market participation, even for a population of identical consumers.

Publications

Dynamic Mixture-Averse Preferences, March 2018, Econometrica, forthcoming. (Supplementary Appendix)

A new recursive utility representation where an individual optimally adjusts her risk attitude in response to the uncertainty that she faces. The key axiom is a dynamic form of aversion to mixtures of lotteries. The model permits the disutility from marginal increases in risk to decrease with exposure, and we demonstrate the usefulness of this novel feature in applications to insurance demand, portfolio choice, and the Rabin paradox.

Hidden Actions and Preferences for Timing of Resolution of Uncertainty
, with Haluk Ergin, Theoretical Economics, May 2015.

Preference for Flexibility and Random Choice, with David Ahn, Econometrica, January 2013. (Supplementary Appendix)

The Unique Minimal Dual Representation of a Convex Function, with Haluk Ergin, Journal of Mathematical Analysis and Applications, October 2010.

A Unique Costly Contemplation Representation, with Haluk Ergin, Econometrica, July 2010. (Supplementary Appendix)

Anticipating Regret: Why Fewer Options May Be Better, Econometrica, March 2008. (Lead Article)

Representing Preferences with a Unique Subjective State Space: A Corrigendum, with Eddie Dekel, Barton L. Lipman, and Aldo Rustichini, Econometrica, March 2007. (Supplementary Appendix)

Correlated Equilibrium in Evolutionary Models with Subpopulations, with Justin Lenzo, Games and Economic Behavior, August 2006.