2 citations · 2 across the 6 of their papers we have counts for
6 papers
Gain-Loss Hedging and Cumulative Prospect Theory
Lorenzo Bastianello, Alain Chateauneuf, Bernard Cornet
Two acts are comonotonic if they yield high payoffs in the same states of nature. The main purpose of this paper is to derive a new characterization of Cumulative Prospect Theory (…
Rationality and correctness in n-player games
Lorenzo Bastianello, Mehmet S. Ismail
There are two well-known sufficient conditions for Nash equilibrium in two-player games: mutual knowledge of rationality (MKR) and mutual knowledge of conjectures. MKR assumes that…
Put-Call Parities, absence of arbitrage opportunities and non-linear pricing rules
Lorenzo Bastianello, Alain Chateauneuf, Bernard Cornet
If prices of assets traded in a financial market are determined by non-linear pricing rules, different versions of the Call-Put Parity have been considered. We show that, under mon…
Conditional strategy equilibrium
Lorenzo Bastianello, Mehmet S. Ismail
In this note, we prove the existence of an equilibrium concept, dubbed conditional strategy equilibrium, for non-cooperative games in which a strategy of a player is a function fro…
Dynamically Consistent Objective and Subjective Rationality
Lorenzo Bastianello, José Heleno Faro, Ana Santos
A group of experts, for instance climate scientists, is to choose among two policies and . Consider the following decision rule. If all experts agree that the expected utili…
Time discounting under uncertainty
Lorenzo Bastianello, José Heleno Faro
We study intertemporal decision making under uncertainty. We fully characterize discounted expected utility in a framework à la Savage. Despite the popularity of this model, no cha…