Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation
From MaRDI portal
Publication:2270565
DOI10.1016/J.JEDC.2008.11.008zbMath1170.91386OpenAlexW2248106794MaRDI QIDQ2270565
Publication date: 28 July 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://wrap.warwick.ac.uk/1725/1/WRAP_Kozhan_fwp08-05.pdf
Macroeconomic theory (monetary models, models of taxation) (91B64) Financial applications of other theories (91G80) Heterogeneous agent models (91B69)
Related Items (2)
Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics ⋮ Equilibria with vector-valued utilities and preference information. The analysis of a mixed duopoly
Cites Work
- Asset price and wealth dynamics in a financial market with heterogeneous agents
- Behavioral heterogeneity in stock prices
- Maxmin expected utility with non-unique prior
- Rational expectations equilibrium with conditioning on past prices: A mean-variance example
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- A generalization of the non-parametric Henriksson-Merton test of market timing
- Knightian decision theory. I.
- Risk, Ambiguity, and the Savage Axioms
- Nonlinear Regression with Dependent Observations
- PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
- Subjective Probability and Expected Utility without Additivity
- Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
- Intertemporal Asset Pricing under Knightian Uncertainty
- Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle
- A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- BUBBLES IN FOREIGN EXCHANGE MARKETS
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Identification in Parametric Models
This page was built for publication: Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation
