Intertemporal Asset Pricing under Knightian Uncertainty
From MaRDI portal
Publication:4290972
Recommendations
Cited in
(only showing first 100 items - show all)- Optimism, pessimism and financial bubbles
- When does aggregation reduce risk aversion?
- Monetary equilibria and Knightian uncertainty
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity
- When Risk Perception Gets in the Way: Probability Weighting and Underprevention
- Ambiguity under growing awareness
- Subjective probability, confidence, and Bayesian updating
- Rationality of belief or: why Savage's axioms are neither necessary nor sufficient for rationality
- Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
- A model of financial markets with endogenously correlated rational beliefs
- A decision-theoretic model of asset-price underreaction and overreaction to dividend news
- Dynamic decision making when risk perception depends on past experience
- Do sunspots matter when agents are Choquet-expected-utility maximizers?
- Model uncertainty and policy evaluation: some theory and empirics
- Robust Permanent Income and Pricing
- Modeling nonmonotone preferences: the case of utility smoothing
- The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
- Recent developments in modeling preferences: Uncertainty and ambiguity
- Induced uncertainty, market price of risk, and the dynamics of consumption and wealth
- Competitive equilibria of economies with a continuum of consumers and aggregate shocks
- On attitude polarization under Bayesian learning with non-additive beliefs
- Attitude toward imprecise information
- Ambiguity made precise: A comparative foundation
- Uncertainty and Risk in Financial Markets
- A two-person dynamic equilibrium under ambiguity
- Additive representations of non-additive measures and the Choquet integral
- Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation
- Asset pricing in a Lucas fruit-tree economy with the best and worst in mind
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- The risk transfer of non-tradable risks under model uncertainty
- A note on robustness in Merton's model of intertemporal consumption and portfolio choice
- Ambiguity aversion and trade
- Uncertainty aversion vs. competence: An experimental market study
- Extensive form games with uncertainty averse players
- Modeling attitudes towards uncertainty and risk through the use of Choquet integral
- On fragility of bubbles in equilibrium asset pricing models of Lucas-type
- Robust asset allocation with benchmarked objectives
- Fuzzy measures and asset prices: accounting for information ambiguity
- Liquidity and credit risk
- Effects of uncertainty aversion on the call option market
- Risk Exchange with Distorted Probabilities
- Risk, uncertainty, and option exercise
- Portfolio inertia under ambiguity
- Sharing risk and ambiguity
- Uncertainty, risk-neutral measures and security price booms and crashes
- Stochastic intertemporal duality: an application to investment under uncertainty
- Knightian decision theory. I.
- Differentiating ambiguity and ambiguity attitude
- Ambiguity and the Bayesian paradigm
- Interim efficient allocations under uncertainty
- Smoothing preference kinks with information
- Recursive multiple-priors.
- Optimal Portfolio Choice Based on α-MEU Under Ambiguity
- scientific article; zbMATH DE number 1790587 (Why is no real title available?)
- Stochastic dynamic utilities and intertemporal preferences
- Epistemic conditions for agreement and stochastic independence of \(\epsilon\)-contaminated beliefs
- The K-armed bandit problem with multiple priors
- Conditional preferences and updating.
- Search and Knightian uncertainty
- Robust control with commitment: a modification to Hansen-Sargent
- On indepedence for non-additive measures, with a Fubini theorem
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Speculative trade under ambiguity
- Are generalized call-spreads efficient?
- Dynamic variational preferences
- Regular economies with ambiguity aversion
- Incentive contracting under ambiguity aversion
- Observational equivalence and nonequivalence of subjective and robust mean-variance preferences
- CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Intertemporal equilibria with Knightian uncertainty
- Fuzzy logic-based generalized decision theory with imperfect information
- Robust pricing under strategic trading
- Uncertain equilibria and incomplete preferences
- Robust portfolio optimization with a generalized expected utility model under ambiguity
- Recursive smooth ambiguity preferences
- Dynamic programming for non-additive stochastic objectives
- Dynamic decision making under ambiguity: an experimental investigation
- Viability and arbitrage under Knightian uncertainty
- A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
- SHACKLE AND MODERN DECISION THEORY
- The impact of operational delay on irreversible investment under Knightian uncertainty
- Coherence without additivity.
- Ellsberg's two-color experiment, portfolio inertia and ambiguity.
- A note on bivariate dual generalized Marshall-Olkin distributions with applications
- Is ambiguity aversion bad for innovation?
- Asymmetric Choquet random walks and ambiguity aversion or seeking
- Twisted probabilities, uncertainty, and prices
- Conditional Analysis and a Principal-Agent Problem
- A simple robust asset pricing model under statistical ambiguity
- Endogenous incompleteness of financial markets: the role of ambiguity and ambiguity aversion
- Intertemporal risk-return tradeoff in the short-run
- Uncertainty aversion, robust control and asset holdings
- Generalized entropy and model uncertainty
- On the observational implications of Knightian uncertainty
- Optimal trading strategy under disordered asset return and Knightian uncertainty
- A Bayesian model of Knightian uncertainty
- Multiple priors and asset pricing
- Optimality in an OLG model with nonsmooth preferences
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)