Intertemporal Asset Pricing under Knightian Uncertainty
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Publication:4290972
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(only showing first 100 items - show all)- On the observational implications of Knightian uncertainty
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Asymmetric Choquet random walks and ambiguity aversion or seeking
- Robust asset allocation with benchmarked objectives
- Uncertainty aversion, robust control and asset holdings
- A simple robust asset pricing model under statistical ambiguity
- The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
- Do sunspots matter when agents are Choquet-expected-utility maximizers?
- CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
- Beyond uncertainty aversion
- Optimal trading strategy under disordered asset return and Knightian uncertainty
- A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
- Ambiguity and informativeness of (non-)trading
- Asset prices in an ambiguous economy
- Backward nonlinear expectation equations
- Ambiguity aversion and trade
- Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation
- Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences
- Coherence without additivity.
- Ellsberg's two-color experiment, portfolio inertia and ambiguity.
- Comparative statics with linear objectives: normality, complementarity, and ranking multi-prior beliefs
- Risk Exchange with Distorted Probabilities
- Competitive equilibria of economies with a continuum of consumers and aggregate shocks
- Fuzzy measures and asset prices: accounting for information ambiguity
- Liquidity and credit risk
- Monetary equilibria and Knightian uncertainty
- Stochastic intertemporal duality: an application to investment under uncertainty
- 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
- 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
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