Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations

DOI10.1016/J.JEDC.2014.09.039zbMATH Open1402.91396OpenAlexW3121742259MaRDI QIDQ1623985FDOQ1623985

Authors: Irasema Alonso, Mauricio Prado 

Publication date: 15 November 2018

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2014.09.039

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zbMATH Keywords

ambiguity aversionequity premiumconsumption fluctuations

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Welfare economics (91B15)

Cites Work

• Risk, ambiguity and the Savage axioms
• Subjective Probability and Expected Utility without Additivity
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Recursive multiple-priors.
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Asset Prices in an Exchange Economy
• Intertemporal Asset Pricing under Knightian Uncertainty
• Robustness
• An exploration of the effects of pessimism and doubt on asset returns.
• Ambiguity and the historical equity premium

Cited In (5)

• Welfare implications of mitigating investment uncertainty
• Price uncertainty and consumer welfare in an intertemporal setting
• Cash holdings, ambiguity aversion, and investment puzzles
• Portfolio choices and asset prices: the comparative statics of ambiguity aversion
• Growth risks, asset prices, and welfare

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