Ambiguity preferences, risk taking and the banking firm
Author
Abstract
Suggested Citation
DOI: 10.1007/s40822-018-0096-2
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2005.
"A Smooth Model of Decision Making under Ambiguity,"
Econometrica, Econometric Society, vol. 73(6), pages 1849-1892, November.
- Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2002. "A smooth model of decision making under ambiguity," ICER Working Papers - Applied Mathematics Series 11-2003, ICER - International Centre for Economic Research, revised Apr 2003.
- Sujoy Mukerji & Peter Klibanoff & Northwesern University Massimo Marinacci & Dip. di Satistic e Matematica Applicata & Universita di Torino and ICER, 2002. "A Smooth Model of Decision,Making Under Ambiguity," Economics Series Working Papers 113, University of Oxford, Department of Economics.
- Ricardo J. Caballero & Arvind Krishnamurthy, 2008.
"Collective Risk Management in a Flight to Quality Episode,"
Journal of Finance, American Finance Association, vol. 63(5), pages 2195-2230, October.
- Ricardo J. Caballero & Arvind Krishnamurthy, 2007. "Collective Risk Management in a Flight to Quality Episode," NBER Working Papers 12896, National Bureau of Economic Research, Inc.
- Wong, Kit Pong, 2016. "Ambiguity and the multinational firm," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 404-414.
- Arthur Snow, 2010. "Ambiguity and the value of information," Journal of Risk and Uncertainty, Springer, vol. 40(2), pages 133-145, April.
- Taboga, Marco, 2005.
"Portfolio selection with two-stage preferences,"
Finance Research Letters, Elsevier, vol. 2(3), pages 152-164, September.
- Marco Taboga, 2005. "Portfolio Selection with Two-Stage Preferences," Finance 0506009, University Library of Munich, Germany.
- Ivashina, Victoria & Scharfstein, David, 2010. "Bank lending during the financial crisis of 2008," Journal of Financial Economics, Elsevier, vol. 97(3), pages 319-338, September.
- Christian Gollier, 2011.
"Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(4), pages 1329-1344.
- Gollier, Christian, 2009. "Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion," TSE Working Papers 09-068, Toulouse School of Economics (TSE).
- Gollier, Christian, 2009. "Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion," IDEI Working Papers 357, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2011.
- David Alary & Christian Gollier & Nicolas Treich, 2013. "The Effect of Ambiguity Aversion on Insurance and Self‐protection," Economic Journal, Royal Economic Society, vol. 123(12), pages 1188-1202, December.
- Kit Pong Wong, 2015. "Ambiguity and the Value of Hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(9), pages 839-848, September.
- Gilboa, Itzhak & Schmeidler, David, 1989.
"Maxmin expected utility with non-unique prior,"
Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
- Gilboa, Itzhak & Schmeidler, David, 1986. "Maxmin Expected Utility with a Non-Unique Prior," Foerder Institute for Economic Research Working Papers 275405, Tel-Aviv University > Foerder Institute for Economic Research.
- Itzhak Gilboa & David Schmeidler, 1989. "Maxmin Expected Utility with Non-Unique Prior," Post-Print hal-00753237, HAL.
- Broll, Udo & Welzel, Peter & Wong, Kit Pong, 2016. "The banking firm under ambiguity aversion," CEPIE Working Papers 01/16, Technische Universität Dresden, Center of Public and International Economics (CEPIE).
- Arthur Snow, 2011. "Ambiguity aversion and the propensities for self-insurance and self-protection," Journal of Risk and Uncertainty, Springer, vol. 42(1), pages 27-43, February.
- Kit Pong Wong, 2017. "Cross‐Hedging Ambiguous Exchange Rate Risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(2), pages 132-147, February.
- Kit Pong Wong, 2016. "Production and Hedging Under Smooth Ambiguity Preferences," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(5), pages 506-518, May.
- Kit Pong Wong, 2015. "A Smooth Ambiguity Model Of The Competitive Firm," Bulletin of Economic Research, Wiley Blackwell, vol. 67(S1), pages 97-110, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Bilgin, Mehmet Huseyin & Danisman, Gamze Ozturk & Demir, Ender & Tarazi, Amine, 2021.
"Bank credit in uncertain times: Islamic vs. conventional banks,"
Finance Research Letters, Elsevier, vol. 39(C).
- Huseyin Mehmet Bilgin & Gamze Ozturk Danisman & Ender Demir & Amine Tarazi, 2020. "Bank credit in uncertain times: Islamic vs. conventional banks," Working Papers hal-02475502, HAL.
- Huseyin Mehmet Bilgin & Gamze Ozturk Danisman & Ender Demir & Amine Tarazi, 2020. "Bank credit in uncertain times: Islamic vs. conventional banks," Post-Print hal-02624554, HAL.
- Huseyin Mehmet Bilgin & Gamze Ozturk Danisman & Ender Demir & Amine Tarazi, 2021. "Bank credit in uncertain times: Islamic vs. conventional banks," Post-Print hal-03259286, HAL.
- Christina Christou & Giray Gozgor & Rangan Gupta & Chi keung Marco Lau, 2020.
"Are Uncertainties across the World Convergent?,"
Economics Bulletin, AccessEcon, vol. 40(1), pages 855-862.
- Christina Christou & Giray Gozgor & Rangan Gupta & Chi-Keung (Marco) Lau, 2019. "Are Uncertainties across the World Convergent?," Working Papers 201907, University of Pretoria, Department of Economics.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Wong, Kit Pong, 2024. "Optimal nonlinear pricing by a monopoly with smooth ambiguity preferences," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 594-604.
- Wong, Kit Pong, 2016. "Ambiguity and the multinational firm," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 404-414.
- Kit Pong Wong, 2015. "A Smooth Ambiguity Model Of The Competitive Firm," Bulletin of Economic Research, Wiley Blackwell, vol. 67(S1), pages 97-110, December.
- Broll, Udo & Welzel, Peter & Wong, Kit Pong, 2016. "The banking firm under ambiguity aversion," CEPIE Working Papers 01/16, Technische Universität Dresden, Center of Public and International Economics (CEPIE).
- Broll, Udo & Wong, Kit Pong, 2015. "The incentive to trade under ambiguity aversion," The Journal of Economic Asymmetries, Elsevier, vol. 12(2), pages 190-196.
- Simon Quemin, 2016.
"Intertemporal abatement decisions under ambiguity aversion in a cap and trade,"
Working Papers
1604, Chaire Economie du climat.
- Simon Quemin, 2017. "Intertemporal abatement decisions under ambiguity aversion in a cap and trade," Working Papers 1703, Chaire Economie du climat.
- Simon Quemin, 2017. "Intertemporal Abatement Decisions under Ambiguity Aversion in a Cap and Trade," Working Papers 2017.06, FAERE - French Association of Environmental and Resource Economists.
- Huang, Rachel J. & Huang, Yi-Chieh & Tzeng, Larry Y., 2013. "Insurance bargaining under ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 812-820.
- Peter, Richard & Ying, Jie, 2020. "Do you trust your insurer? Ambiguity about contract nonperformance and optimal insurance demand," Journal of Economic Behavior & Organization, Elsevier, vol. 180(C), pages 938-954.
- Christophe Courbage & Beatrice Rey, 2016.
"On ambiguity apportionment,"
Journal of Economics, Springer, vol. 118(3), pages 265-275, July.
- Christophe Courbage & Béatrice Rey, 2015. "On ambiguity apportionment," Working Papers halshs-01223230, HAL.
- Christophe Courbage & Béatrice Rey, 2016. "On ambiguity apportionment," Post-Print halshs-01290062, HAL.
- Christophe Courbage & Béatrice Rey, 2015. "On ambiguity apportionment," Working Papers 1527, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
- Broll, Udo & Wong, Kit Pong, 2014. "Ambiguity and the incentive to export," Dresden Discussion Paper Series in Economics 01/14, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
- Diego C. Nocetti, 2018.
"Ambiguity and the value of information revisited,"
The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(1), pages 25-38, May.
- Diego C. Nocetti, 2018. "Ambiguity and the value of information revisited," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(1), pages 25-38, May.
- Victor Filipe Martins da Rocha & Rafael Mouallem, 2020. "Second-Order Beliefs and Second-Order Expected Utility," Working Papers hal-02922263, HAL.
- Christian Gollier & James Hammitt & Nicolas Treich, 2013.
"Risk and choice: A research saga,"
Journal of Risk and Uncertainty, Springer, vol. 47(2), pages 129-145, October.
- Gollier, Christian & Hammitt, James K. & Treich, Nicolas, 2013. "Risk and Choice: A Research Saga," IDEI Working Papers 804, Institut d'Économie Industrielle (IDEI), Toulouse.
- Gollier, Christian & Hammitt, James K. & Treich, Nicolas, 2013. "Risk and Choice: A Research Saga," TSE Working Papers 13-444, Toulouse School of Economics (TSE).
- Huang, Yi-Chieh & Tzeng, Larry Y. & Zhao, Lin, 2015. "Comparative ambiguity aversion and downside ambiguity aversion," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 257-269.
- Biener, Christian & Landmann, Andreas & Santana, Maria Isabel, 2019.
"Contract nonperformance risk and uncertainty in insurance markets,"
Journal of Public Economics, Elsevier, vol. 175(C), pages 65-83.
- Biener, Christian & Landmann, Andreas & Santana, Maria Isabel, 2017. "Contract Nonperformance Risk and Uncertainty in Insurance Markets," Working Papers on Finance 1701, University of St. Gallen, School of Finance, revised Apr 2019.
- Peter, Richard, 2019. "Revisiting precautionary saving under ambiguity," Economics Letters, Elsevier, vol. 174(C), pages 123-127.
- Peter John Robinson & W. J. Wouter Botzen & Fujin Zhou, 2021.
"An experimental study of charity hazard: The effect of risky and ambiguous government compensation on flood insurance demand,"
Journal of Risk and Uncertainty, Springer, vol. 63(3), pages 275-318, December.
- Peter John Robinson & W.J.W. Botzen & F. Zhou, 2019. "An experimental study of charity hazard: The effect of risky and ambiguous government compensation on flood insurance demand," Working Papers 19-19, Utrecht School of Economics.
- Jewitt, Ian & Mukerji, Sujoy, 2017.
"Ordering ambiguous acts,"
Journal of Economic Theory, Elsevier, vol. 171(C), pages 213-267.
- Ian Jewitt & Sujoy Mukerji, 2011. "Ordering Ambiguous Acts," Economics Series Working Papers 553, University of Oxford, Department of Economics.
- Sujoy Mukerji & Ian Jewitt, 2017. "Ordering Ambiguous Acts," Working Papers 828, Queen Mary University of London, School of Economics and Finance.
- Claudio A. Bonilla & Pablo A. Gutiérrez Cubillos, 2021. "The effects of ambiguity on entrepreneurship," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 30(1), pages 63-80, February.
- L. A. Franzoni, 2016. "Optimal liability design under risk and ambiguity," Working Papers wp1048, Dipartimento Scienze Economiche, Universita' di Bologna.
More about this item
Keywords
Ambiguity; Ambiguity aversion; Banking firms; Capital requirements;All these keywords.
JEL classification:
- D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:eurase:v:8:y:2018:i:3:d:10.1007_s40822-018-0096-2. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.