In this paper, which is a continuation of the discrete-time paper (Björk and Murgoci in
Finance Stoch. 18: 545–592, 2004), we study a class of continuous-time stochastic control …

The purpose of this book is to present an overview of, and introduction to, the time-
inconsistent control theory developed by the authors during the last decade. The theory is …

Standard economic models view risk taking and time discounting as two independent
dimensions of decision makers' behavior. However, mounting experimental evidence …

Output, wages, and dividends feature term structures of variance ratios that are respectively
flat, increasing, and decreasing. Income insurance from shareholders to workers explains …

Inspired by experimental evidence, we amend the recursive utility model to let risk aversion
decrease with the temporal horizon. Our pseudo-recursive preferences remain tractable and …

The recent empirical evidence of a downward-sloping term structure of equity risk is viewed
as a challenge to many leading asset pricing models. This article analytically characterizes …

Standard economic models view risk taking and time discounting as two independent
dimensions of decision making. However, mounting experimental evidence demonstrates …

In this paper, which is a continuation of the previously published discrete time paper we
develop a theory for continuous time stochastic control problems which, in various ways, are …

Almost all important decisions in people's lives entail risky consequences. In many situations
people display considerable risk aversion, apparently overweighting rare extreme events …

Recent survey evidence suggests that personal experiences have a strong influence on the
individual's attitude towards time and impatience. Embedding this feature in a general …