Induced uncertainty, market price of risk, and the dynamics of consumption and wealth

DOI10.1016/J.JET.2016.01.003MaRDI QIDQ281331zbMATH OpenOpenAlexFDO

Authors Yulei Luo, Eric R. Young

Publication date 11 May 2016

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/57111/1/MPRA_paper_57111.pdf

zbMATH Keywords

consumption and income volatilityinduced uncertaintymarket prices of uncertaintyoptimal inattentionrobust control and filtering

Mathematics Subject Classification ID

Decision theory (91B06) Economic growth models (91B62) Sensitivity (robustness) (93B35)

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Cites work

• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Ambiguity, learning, and asset returns
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Axiomatic foundations of multiplier preferences
• Discounted linear exponential quadratic Gaussian control
• scientific article; zbMATH DE number 48691 (Why is no real title available?)
• scientific article; zbMATH DE number 1790587 (Why is no real title available?)
• Individual Income, Incomplete Information, and Aggregate Consumption
• Information acquisition and under-diversification
• Intertemporal Asset Pricing under Knightian Uncertainty
• Maxmin expected utility with non-unique prior
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
• Portfolio choice, attention allocation, and price comovement
• Robust estimation and control under commitment
• Robust Permanent Income and Pricing
• Robustness
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

Cited in

(8)

• Equity premium and consumption sensitivity when the consumer-investor allows for unfavorable circumstances.
• Elastic attention, risk sharing, and international comovements
• Ignorance, pervasive uncertainty, and household finance
• Optimal attention and heterogeneous precautionary saving behavior
• Uncertainty Shocks in a Model of Effective Demand: Comment
• Price uncertainty, saving, and welfare
• Ambiguity, information processing, and financial intermediation
• Robust optimal investment strategies of DC pension plan under limited attention allocation

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