Endogenous indeterminacy and volatility of asset prices under ambiguity

DOI10.3982/TE1068zbMATH Open1395.91207OpenAlexW2143369595MaRDI QIDQ4586090FDOQ4586090

Authors: Michael Mandler 

Publication date: 11 September 2018

Published in: Theoretical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/te1068

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zbMATH Keywords

ambiguity aversionindeterminacygeneral equilibriumasset pricingexcess volatility

Mathematics Subject Classification ID

Cited In (9)

• Uncertainty, expectations and asset price dynamics. Essays in honor of Georges Prat
• Ambiguous volatility, possibility and utility in continuous time
• Optimality in an OLG model with nonsmooth preferences
• The impact of idiosyncratic uncertainty when investment opportunities are endogenous
• Sorting in risk-aversion and asset price volatility
• Endogenous liquidity and volatility
• The pricing effects of ambiguous private information
• Endogenous Investment and Pricing under Uncertainty
• Monetary equilibria and Knightian uncertainty

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