Smooth Ambiguity Aversion toward Small Risks and Continuous-Time Recursive Utility
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DOI: 10.1086/671179
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"Ambiguity and the historical equity premium,"
Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
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- Sujoy Mukerji & Kevin Sheppard & Fabrice Collard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Economics Series Working Papers 550, University of Oxford, Department of Economics.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," Post-Print halshs-01886571, HAL.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016. "Ambiguity and the historical equity premium," Post-Print halshs-00594096, HAL.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2015.
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- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016. "Ambiguity and the historical equity premium," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00594096, HAL.
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"Long-Run Risk Is the Worst-Case Scenario,"
American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
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- Li, Hanwu & Riedel, Frank, 2024. "Optimal Consumption for Recursive Preferences with Local Substitution under Risk," Center for Mathematical Economics Working Papers 693, Center for Mathematical Economics, Bielefeld University.
- Fahrenwaldt, Matthias Albrecht & Jensen, Ninna Reitzel & Steffensen, Mogens, 2020. "Nonrecursive separation of risk and time preferences," Journal of Mathematical Economics, Elsevier, vol. 90(C), pages 95-108.
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- Lars Peter Hansen & Jianjun Miao, 2022. "Asset pricing under smooth ambiguity in continuous time," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 335-371, September.
- Balter, Anne G. & Mahayni, Antje & Schweizer, Nikolaus, 2021. "Time-consistency of optimal investment under smooth ambiguity," European Journal of Operational Research, Elsevier, vol. 293(2), pages 643-657.
- Suzuki, Masataka, 2018. "Continuous-time smooth ambiguity preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 30-44.
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Operations Research, INFORMS, vol. 70(3), pages 1317-1329, May.
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- Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
- Henry Skeoch & Christos Ioannidis, 2023. "The barriers to sustainable risk transfer in the cyber-insurance market," Papers 2303.02061, arXiv.org, revised Aug 2023.
- 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.
- Nicole Bauerle & Antje Mahayni, 2023. "Optimal investment in ambiguous financial markets with learning," Papers 2303.08521, arXiv.org, revised Feb 2024.
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