Intertemporal Asset Pricing under Knightian Uncertainty
From MaRDI portal
(Redirected from Publication:4290972)
Recommendations
Cited in
(only showing first 100 items - show all)- Conditional preferences and updating.
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- The risk transfer of non-tradable risks under model uncertainty
- Robust pricing under strategic trading
- Dynamic programming for non-additive stochastic objectives
- Generalized entropy and model uncertainty
- Robust auctions with affiliated private values
- When Risk Perception Gets in the Way: Probability Weighting and Underprevention
- Macroeconomic uncertainty prices when beliefs are tenuous
- Incentive contracting under ambiguity aversion
- (Not) delegating decisions to experts: the effect of uncertainty
- Optimism, pessimism and financial bubbles
- Is ambiguity aversion bad for innovation?
- Welfare implications of mitigating investment uncertainty
- Adaptive preferences: an evolutionary model of non-expected utility and ambiguity aversion
- Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
- Twisted probabilities, uncertainty, and prices
- Robust Permanent Income and Pricing
- Robust control with commitment: a modification to Hansen-Sargent
- Regular economies with ambiguity aversion
- Stochastic dynamic utilities and intertemporal preferences
- The long-run behavior of consumption and wealth dynamics in complete financial market with heterogeneous investors
- Model uncertainty and policy evaluation: some theory and empirics
- Induced uncertainty, market price of risk, and the dynamics of consumption and wealth
- Modeling nonmonotone preferences: the case of utility smoothing
- A model of financial markets with endogenously correlated rational beliefs
- scientific article; zbMATH DE number 1790587 (Why is no real title available?)
- Effects of uncertainty aversion on the call option market
- Solution of macromodels with Hansen-Sargent robust policies: some extensions
- Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations
- SHACKLE AND MODERN DECISION THEORY
- Uncertainty, risk-neutral measures and security price booms and crashes
- Recursive smooth ambiguity preferences
- Are generalized call-spreads efficient?
- Asset pricing in a Lucas fruit-tree economy with the best and worst in mind
- Uncertainty aversion vs. competence: An experimental market study
- Sharing risk and ambiguity
- Brownian equilibria under Knightian uncertainty
- Viability and arbitrage under Knightian uncertainty
- Uncertainty and Risk in Financial Markets
- Recent developments in modeling preferences: Uncertainty and ambiguity
- Intertemporal risk-return tradeoff in the short-run
- Conditional Analysis and a Principal-Agent Problem
- Robust portfolio optimization with a generalized expected utility model under ambiguity
- Ambiguity made precise: A comparative foundation
- Uncertainty, information acquisition, and price swings in asset markets
- Coherent risk measure, equilibrium and equilibrium pricing
- Recursive multiple-priors.
- A volatility smile-based uncertainty index
- Risk, uncertainty, and option exercise
- Alpha-maxmin as an aggregation of two selves
- Speculative trade under ambiguity
- A decision-theoretic model of asset-price underreaction and overreaction to dividend news
- Additive representations of non-additive measures and the Choquet integral
- Aggregation under homogeneous ambiguity: a two-fund separation result
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Smoothing preference kinks with information
- Fuzzy logic-based generalized decision theory with imperfect information
- Differentiating ambiguity and ambiguity attitude
- Knightian uncertainty emotion of investors and the huge fluctuations of stock market
- Ambiguity and the Bayesian paradigm
- On attitude polarization under Bayesian learning with non-additive beliefs
- Optimality in an OLG model with nonsmooth preferences
- Modeling attitudes towards uncertainty and risk through the use of Choquet integral
- Quantifying the impact of partial information on Sharpe ratio optimization
- Robust valuation, arbitrage ambiguity and profit \& loss analysis
- Knightian decision theory. I.
- Investment under ambiguity with the best and worst in mind
- Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity
- Dynamic decision making when risk perception depends on past experience
- Portfolio inertia and epsilon-contaminations
- Optimal Portfolio Choice Based on α-MEU Under Ambiguity
- Ambiguity, asset prices, and excess volatility in a pure-exchange economy
- Multiple priors and asset pricing
- The impact of operational delay on irreversible investment under Knightian uncertainty
- Rationality of belief or: why Savage's axioms are neither necessary nor sufficient for rationality
- Dynamic variational preferences
- Intertemporal equilibria with Knightian uncertainty
- A two-person dynamic equilibrium under ambiguity
- Ambiguity under growing awareness
- Uncertain equilibria and incomplete preferences
- The K-armed bandit problem with multiple priors
- Subjective probability, confidence, and Bayesian updating
- Ambiguity-averse aggregation under heterogeneous beliefs
- A Bayesian model of Knightian uncertainty
- Observational equivalence and nonequivalence of subjective and robust mean-variance preferences
- On indepedence for non-additive measures, with a Fubini theorem
- Robust consumption and portfolio choice with derivatives trading
- A note on bivariate dual generalized Marshall-Olkin distributions with applications
- A note on robustness in Merton's model of intertemporal consumption and portfolio choice
- Endogenous incompleteness of financial markets: the role of ambiguity and ambiguity aversion
- When does aggregation reduce risk aversion?
- On fragility of bubbles in equilibrium asset pricing models of Lucas-type
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Portfolio inertia under ambiguity
- Search and Knightian uncertainty
- Epistemic conditions for agreement and stochastic independence of -contaminated beliefs
- Singular control in a cash management model with ambiguity
- Ambiguous price formation
- Restricted dynamic consistency
This page was built for publication: Intertemporal Asset Pricing under Knightian Uncertainty
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4290972)
