Investment under ambiguity with the best and worst in mind

DOI10.1007/s11579-011-0036-3zbMath1255.91394OpenAlexW2106377847MaRDI QIDQ1932543

David Schröder

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://eprints.bbk.ac.uk/id/eprint/6819/1/Knight.pdf

zbMATH Keywords

ambiguityambiguity aversionKnightian uncertaintydynamic consistencyoptimismreal optionpessimisminvestment decision

Mathematics Subject Classification ID

Decision theory (91B06) Individual preferences (91B08) Portfolio theory (91G10)

Related Items (4)

The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors ⋮ Optimal stopping under model ambiguity: A time‐consistent equilibrium approach ⋮ Heterogeneous beliefs and optimal ownership in entrepreneurial financing decisions ⋮ Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: from Knightian uncertainty to risk

Cites Work

• Unnamed Item
• Unnamed Item
• The worst case for real options
• Risk, uncertainty, and option exercise
• Search and Knightian uncertainty
• Preference and belief: ambibiguity and competence in choice under uncertainty
• Recursive smooth ambiguity preferences
• Maxmin expected utility with non-unique prior
• Dynamic choice and nonexpected utility
• Hedging American contingent claims with constrained portfolios
• Recursive multiple-priors.
• IID: Independently and indistinguishably distributed.
• Differentiating ambiguity and ambiguity attitude
• Irreversible investment and Knightian uncertainty
• Choice under uncertainty with the best and worst in mind: Neo-additive capacities
• An axiomatic approach to \(\varepsilon\)-contamination
• Risk, Ambiguity, and the Savage Axioms
• What Determines the Shape of the Probability Weighting Function Under Uncertainty?
• Optimal Stopping With Multiple Priors
• Subjective Probability and Expected Utility without Additivity
• Intertemporal Asset Pricing under Knightian Uncertainty
• Estimating ambiguity aversion in a portfolio choice experiment
• A Smooth Model of Decision Making under Ambiguity
• Preferences Over Sets of Lotteries1
• Probabilistic Sophistication and Multiple Priors
• Ambiguity, Risk, and Asset Returns in Continuous Time

This page was built for publication: Investment under ambiguity with the best and worst in mind