Endogenous incompleteness of financial markets: the role of ambiguity and ambiguity aversion

DOI10.1016/j.jmateco.2009.07.004zbMath1180.91137MaRDI QIDQ1049235

Francesca Rinaldi

Publication date: 8 January 2010

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2009.07.004

zbMATH Keywords

ambiguity; risk sharing; trading; idiosyncratic risk; variational preferences

Mathematics Subject Classification ID

91B16: Utility theory

91B24: Microeconomic theory (price theory and economic markets)

91G99: Actuarial science and mathematical finance

Related Items

Financial market structures revealed by pricing rules: efficient complete markets are prevalent, Ambiguity in asset pricing and portfolio choice: a review of the literature, Monetary equilibria and Knightian uncertainty

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