Endogenous indeterminacy and volatility of asset prices under ambiguity

DOI10.3982/TE1068MaRDI QIDQ4586090zbMATHOpenAlexFDO

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

zbMATH Keywords

ambiguity aversionindeterminacygeneral equilibriumasset pricingexcess volatility

Mathematics Subject Classification ID

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(9)

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

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