Ambiguity aversion and trade
From MaRDI portal
Publication:641835
DOI10.1007/S00199-011-0642-6zbMATH Open1277.91132OpenAlexW2072499057MaRDI QIDQ641835FDOQ641835
Authors: Luciano I. de Castro, Alain Chateauneuf
Publication date: 25 October 2011
Published in: Economic Theory (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/59660
Recommendations
Cites Work
- Maxmin expected utility with non-unique prior
- Risk, ambiguity and the Savage axioms
- Title not available (Why is that?)
- Subjective Probability and Expected Utility without Additivity
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Differentiating ambiguity and ambiguity attitude
- Expected utility with purely subjective non-additive probabilities
- Knightian decision theory. I.
- Integral Representation Without Additivity
- Rational preferences under ambiguity
- Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
- Intertemporal Asset Pricing under Knightian Uncertainty
- Sharing risk and ambiguity
- Uncertainty and Risk in Financial Markets
- Ambiguity made precise: A comparative foundation
- Subjective Beliefs and ex ante Trade
- Sharing Beliefs: Between Agreeing and Disagreeing
- On indepedence for non-additive measures, with a Fubini theorem
- A two-person dynamic equilibrium under ambiguity
- A Subjective Spin on Roulette Wheels
- Capacities and probabilistic beliefs: a precarious coexistence
- Subjective ambiguity, expected utility and Choquet expected utility
- A Definition of Uncertainty Aversion
- Subjective Probabilities on Subjectively Unambiguous Events
- Informational efficiency with ambiguous information
- Liquidity and asset prices in rational expectations equilibrium with ambiguous information
- Definitions of ambiguous events and the smooth ambiguity model
- Decision making and trade without probabilities
- Maxmin expected utility over Savage acts with a set of priors
- Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
- Ambiguity aversion and incompleteness of financial markets.
- Ambiguous events and maxmin expected utility
- On equilibria when agents have multiple priors
- Ambiguity, uncertainty aversion and equilibrium welfare
- Efficient allocations under ambiguity
- Additivity with multiple priors
- Choquet expected utility with a finite state space: Commutativity and act-independence
- On additivity of the integral
- Portfolio inertia under ambiguity
- Do sunspots matter when agents are Choquet-expected-utility maximizers?
- Characterization of symmetrical monotone risk aversion in the RDEU model.
Cited In (32)
- A test of (weak) certainty independence
- No-betting Pareto under ambiguity
- Participation in risk sharing under ambiguity
- Subjective Beliefs and ex ante Trade
- PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- Pricing rules and Arrow-Debreu ambiguous valuation
- Optimal allocations with α‐MaxMin utilities, Choquet expected utilities, and prospect theory
- The effect of the central bank's standing facilities on interbank lending and bank liquidity holding
- An economic premium principle under the dual theory of the smooth ambiguity model
- Efficient allocations under ambiguity
- Equilibria under Knightian price uncertainty
- Decision making in phantom spaces
- Equilibrium prices and trade under ambiguous volatility
- Smoothing preference kinks with information
- Optimality in an OLG model with nonsmooth preferences
- Indifference and incompleteness distinguished by rational trade
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Optimal insurance design of ambiguous risks
- TRADING AMBIGUITY: A TALE OF TWO HETEROGENEITIES
- Risk redistribution games with dual utilities
- Competitive equilibria with distortion risk measures
- A full characterization of Nash implementation with strategy space reduction
- Savings and default
- The best choice problem under ambiguity
- Decision making and trade without probabilities
- Dynamic consistency for non-expected utility preferences
- Cobb-Douglas preferences under uncertainty
- Comparative ambiguity aversion and downside ambiguity aversion
- Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty
- Uncertainty, efficiency and incentive compatibility: ambiguity solves the conflict between efficiency and incentive compatibility
- Value allocation under ambiguity
- Bilateral risk sharing in a comonotone market with rank-dependent utilities
This page was built for publication: Ambiguity aversion and trade
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q641835)