Portfolio choices and asset prices: the comparative statics of ambiguity aversion
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Publication:2857656
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Cited in
(48)- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Games with second-order expected utility
- The dual theory of the smooth ambiguity model
- Estimating ambiguity aversion in a portfolio choice experiment
- Optimal investment in ambiguous financial markets with learning
- Is ambiguity aversion bad for innovation?
- Cancer and Portfolio Choice: Evidence from Norwegian Register Data
- The fog of fraud -- mitigating fraud by strategic ambiguity
- The pricing kernel puzzle: survey and outlook
- Recursive non-expected utility: connecting ambiguity attitudes to risk preferences and the level of ambiguity
- The principal-agent problem with smooth ambiguity
- Time-consistency of optimal investment under smooth ambiguity
- Index-wise comparative statics
- Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data
- Cash holdings, ambiguity aversion, and investment puzzles
- A dual approach to ambiguity aversion
- Ordering ambiguous acts
- Ambiguous life expectancy and the demand for annuities
- Portfolio allocation problems between risky and ambiguous assets
- Ambiguity and the Bayesian paradigm
- Optimality in an OLG model with nonsmooth preferences
- On ambiguity apportionment
- Cost-efficient payoffs under model ambiguity
- Continuous-time smooth ambiguity preferences
- Decreasing aversion under ambiguity
- Portfolio management with stochastic interest rates and inflation ambiguity
- Optimal insurance design of ambiguous risks
- Portfolio concentration, portfolio inertia, and ambiguous correlation
- Revisiting precautionary saving under ambiguity
- TRADING AMBIGUITY: A TALE OF TWO HETEROGENEITIES
- Increases in risk and demand for a risky asset
- Comparative statics under \(\kappa\)-ambiguity for \(\log\)-Brownian asset prices
- The comparative statics on asset prices based on bull and bear market measure
- Optimal portfolio with vector expected utility
- Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty
- Optimal investment under ambiguous technology shocks
- Beyond uncertainty aversion
- Asset prices in an ambiguous economy
- Portfolio choices: comparative statics under both expected return and volatility uncertainty
- Insurance bargaining under ambiguity
- Comparative ambiguity aversion and downside ambiguity aversion
- Optimal frequency of portfolio evaluation in a choice experiment with ambiguity and loss aversion
- Comparative statics with linear objectives: normality, complementarity, and ranking multi-prior beliefs
- New characterizations of increasing risk
- Dynamic decision-making when ambiguity attitudes depend on exogenous events
- The myopic property in decision models
- Are individuals more risk and ambiguity averse in a group environment or alone? Results from an experimental study
- A model for the optimal selection of lenders
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