Multiple priors and asset pricing

DOI10.1007/S11009-007-9051-5MaRDI QIDQ1023977zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan, Robert J. Elliott

Publication date 16 June 2009

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-007-9051-5

Mathematics Subject Classification ID

Bayesian inference (62F15) Signal detection and filtering (aspects of stochastic processes) (60G35)

Recommendations

• Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing Theory
• Asset prices in an ambiguous economy
• Asset pricing with flexible beliefs
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Asset pricing with incomplete information and fat tails

Cites work

• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• Coherent measures of risk
• Hedging contingent claims on semimartingales
• Intertemporal Asset Pricing under Knightian Uncertainty
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Maxmin expected utility with non-unique prior
• Option Pricing With V. G. Martingale Components¹
• Option pricing using variance gamma Markov chains
• The Variance Gamma Process and Option Pricing
• Uncertainty, risk-neutral measures and security price booms and crashes

Cited in

(2)

• Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing Theory
• Likelihood Evidence on the Asset Returns Puzzle

This page was built for publication: Multiple priors and asset pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1023977)