Dynamic Disappointment Aversion: Don't Tell Me Anything Until You Know For Sure

We show that for a disappointment-averse decision maker, splitting a lottery into several stages reduces its value. To do this, we extend Gul.s (1991) model of disappointment aversion into a dynamic setting while keeping its basic characteristics intact. The result depends solely on the sign of the coefficient of disappointment aversion. It can help explain why people often buy periodic insurance for moderately priced objects, such as electrical appliances and cellular phones, at much more than the actuarially fair rate.Disappointment aversion, recursive preferences, compound lotteries

Analysis of polarity

We develop a differential theory for the polarity transform parallel to that for the Legendre transform, which is applicable when the functions studied are "geometric convex", namely convex, non-negative and vanish at the origin. This analysis may be used to solve a family of first order equations reminiscent of Hamilton--Jacobi and conservation law equations, as well as some second order Monge-Ampere type equations. A special case of the latter, that we refer to as the homogeneous polar Monge--Ampere equation, gives rise to a canonical method of interpolating between convex functions

Some new positions of maximal volume of convex bodies

In this paper, we extend and generalize several previous works on maximal-volume positions of convex bodies. First, we analyze the maximal positive-definite image of one convex body inside another, and the resulting decomposition of the identity. We discuss continuity and differentiability of the mapping associating a body with its positive John position. We then introduce the saddle-John position of one body inside another, proving that it shares some of the properties possessed by the position of maximal volume, and explain how this can be used to improve volume ratio estimates. We investigate several examples in detail and compare these positions. Finally, we discuss the maximal intersection position of one body with respect to another, and show the existence of a natural decomposition of identity associated to this position, extending previous work which treated the case when one of the bodies is the Euclidean ball.Comment: 43 pages, 1 figur