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

DOI10.1016/J.JEDC.2014.09.039MaRDI QIDQ1623985zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ambiguity aversionequity premiumconsumption fluctuations

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(5)

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

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