Asymmetric Choquet random walks and ambiguity aversion or seeking

DOI10.1007/s11238-017-9632-xzbMath1395.91095OpenAlexW2762953309MaRDI QIDQ1698987

Rossella Agliardi

Publication date: 16 February 2018

Published in: Theory and Decision (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11238-017-9632-x

zbMATH Keywords

random walksChoquet integralambiguityconditional capacities

Mathematics Subject Classification ID

Decision theory (91B06) Sums of independent random variables; random walks (60G50)

Cites Work

• Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty
• Conditioning capacities and Choquet integrals: the role of comonotony
• Option implied ambiguity and its information content: evidence from the subprime crisis
• Ambiguity in asset pricing and portfolio choice: a review of the literature
• A note on ``Re-examining the law of iterated expectations for Choquet decision makers
• Irreversible investment and Knightian uncertainty
• Choquet-based European option pricing with stochastic (and fixed) strikes
• Intertemporal Asset Pricing under Knightian Uncertainty
• Ambiguity, Risk, and Asset Returns in Continuous Time

This page was built for publication: Asymmetric Choquet random walks and ambiguity aversion or seeking