Robust Permanent Income and Pricing
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- scientific article; zbMATH DE number 1790587
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Cited in
(70)- Robust optimal portfolio choice under Markovian regime-switching model
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- Recursive multiple-priors.
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- An exploration of the effects of pessimism and doubt on asset returns.
- Robust valuation, arbitrage ambiguity and profit \& loss analysis
- Continuous-time smooth ambiguity preferences
- The Asian financial crisis and international reserve accumulation: a robust control approach
- Asset prices in an ambiguous economy
- The pricing of Asian options in uncertain volatility model
- The risk transfer of non-tradable risks under model uncertainty
- Conditional comonotonicity
- Robust control: A note on the timing of model uncertainty
- Robust control: a note on the response of the control to changes in the ``free parameter conditional on the character of nature
- Conditional preferences and updating.
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Model uncertainty and intertemporal tax smoothing
- Macroeconomic uncertainty prices when beliefs are tenuous
- Structured ambiguity and model misspecification
- Ignorance, pervasive uncertainty, and household finance
- Estimating robustness
- A theoretical foundation of ambiguity measurement
- When does ambiguity fade away?
- Decision making in phantom spaces
- The PDEs and numerical scheme for derivatives under uncertainty volatility
- Twisted probabilities, uncertainty, and prices
- Directed attention and nonparametric learning
- Recursive robust estimation and control without commitment
- Stochastic optimization and worst-case analysis in monetary policy design
- Robust control and model misspecification
- Doubts or variability?
- Induced uncertainty, market price of risk, and the dynamics of consumption and wealth
- Ambiguity, asset prices, and excess volatility in a pure-exchange economy
- Ambiguity and the Bayesian paradigm
- Optimal consumption and savings with stochastic income and recursive utility
- New results in stochastic cooperative games: strategic coordination for multi-resolution performance robustness
- Linear Quadratic Differential Games: An Overview
- Small noise methods for risk-sensitive/robust economies
- Asset pricing in a Lucas fruit-tree economy with the best and worst in mind
- Sharing risk and ambiguity
- scientific article; zbMATH DE number 1790587 (Why is no real title available?)
- Do Bayesians Learn Their Way Out of Ambiguity?
- The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
- Robust portfolio choice with stochastic interest rates
- Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
- Expected utility with uncertain probabilities theory
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- LOCK-IN OF EXTRAPOLATIVE EXPECTATIONS IN AN ASSET PRICING MODEL
- A numerical algorithm to find soft-constrained Nash equilibria in scalar LQ-games
- Robust monetary policy with misspecified models: Does model uncertainty always call for attenuated policy?
- A robust Hansen-Sargent prediction formula
- A note on robustness in Merton's model of intertemporal consumption and portfolio choice
- Robust equilibria in indefinite linear-quadratic differential games
- Learning under fear of floating
- Risk premia in general equilibrium
- Stochastic games with unbounded payoffs: applications to robust control in economics
- Ambiguity made precise: A comparative foundation
- Ambiguity aversion, portfolio choice, and life expectancy
- The dynamics of risk-sensitive allocations
- Mean and variance optimization of non-linear systems and worst-case analysis
- Robust control with commitment: a modification to Hansen-Sargent
- The tradeoff between risk sharing and information production in financial markets
- Understanding the difference between robust control and optimal control in a linear discrete-time system with time-varying parameters
- Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity
- A two-person dynamic equilibrium under ambiguity
- On the relation between robust and Bayesian decision making
- Solution of macromodels with Hansen-Sargent robust policies: some extensions
- Stochastic control for economic models: past, present and the paths ahead
- Stochastic taxation and asset pricing in dynamic general equilibrium
- A parallel algorithm for semi-infinite programming
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