Asset prices in an ambiguous economy
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Publication:1702879
DOI10.1007/S11579-017-0194-ZzbMATH Open1404.91114OpenAlexW296647436MaRDI QIDQ1702879FDOQ1702879
Authors: Daniele Pennesi 
Publication date: 1 March 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://www.carloalberto.org/wp-content/uploads/2018/11/no.315.pdf
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Cites Work
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- Uncertainty, risk-neutral measures and security price booms and crashes
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- Updating Ambiguity Averse Preferences
- Ambiguity and the historical equity premium
Cited In (37)
- On booms that never bust: ambiguity in experimental asset markets with bubbles
- Macroeconomic uncertainty prices when beliefs are tenuous
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Endogenous indeterminacy and volatility of asset prices under ambiguity
- Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations
- Asset pricing in a Lucas fruit-tree economy with the best and worst in mind
- Do markets prove pessimists right?
- Asset pricing under smooth ambiguity in continuous time
- Equilibrium in an ambiguity-averse mean-variance investors market
- Equilibrium prices and trade under ambiguous volatility
- A decision-theoretic model of asset-price underreaction and overreaction to dividend news
- Knightian uncertainty emotion of investors and the huge fluctuations of stock market
- Gain-loss pricing under ambiguity of measure
- Ambiguity aversion and incompleteness of financial markets.
- Ambiguity sensitive preferences in Ellsberg frameworks
- Asset trading under non-classical ambiguity and heterogeneous beliefs
- Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity
- Ambiguity, asset prices, and excess volatility in a pure-exchange economy
- Multiple priors and asset pricing
- Model uncertainty in commodity markets
- Crisp monetary acts in multiple-priors models of decision under ambiguity
- An additive model of decision making under risk and ambiguity
- TRADING AMBIGUITY: A TALE OF TWO HETEROGENEITIES
- Ambiguous price formation
- Ambiguity, learning, and asset returns
- The learning premium
- Ambiguity aversion and the absence of indexed debt
- Survival with ambiguity
- A simple robust asset pricing model under statistical ambiguity
- Liquidity and asset prices in rational expectations equilibrium with ambiguous information
- Asset prices in a labor search model with confidence shocks
- The ambiguity premium vs. the risk premium under limited market participation
- Ambiguity, information processing, and financial intermediation
- The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
- Fuzzy measures and asset prices: accounting for information ambiguity
- Smooth ambiguity preferences and asset prices with a jump-diffusion process
- Ambiguity aversion and the absence of indexed debt
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