Doubts and variability: a robust perspective on exotic consumption series

DOI10.1016/j.jet.2018.02.007zbMath1422.91280OpenAlexW2104282631MaRDI QIDQ1753715

Xianqiang Yang

Publication date: 29 May 2018

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://www.frbsf.org/economic-research/files/wp2013-28.pdf

zbMATH Keywords

uncertaintyrobustnessasset pricingstochastic volatilityambiguitydisasters

Mathematics Subject Classification ID

Related Items (3)

Existence and uniqueness of recursive utilities without boundedness ⋮ Stochastic optimal growth model with risk sensitive preferences ⋮ Generalized entropy and model uncertainty

Cites Work

• Doubts or variability?
• Ambiguity, Learning, and Asset Returns
• Robust risk measurement and model risk
• Fragile beliefs and the price of uncertainty
• Axiomatic Foundations of Multiplier Preferences
• Rare Disasters and Asset Markets in the Twentieth Century*
• Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
• Robustness

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