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Ambiguous Information, Risk Aversion, and Asset Pricing

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  • Philipp Karl ILLEDITSCH

    (Wharton)

Abstract

always lead to a higher price.

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  • Philipp Karl ILLEDITSCH, 2009. "Ambiguous Information, Risk Aversion, and Asset Pricing," 2009 Meeting Papers 802, Society for Economic Dynamics.
    • Handle: RePEc:red:sed009:802
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    Cited by:

    1. Huang, Helen Hui & Zhang, Shunming & Zhu, Wei, 2017. "Limited participation under ambiguity of correlation," Journal of Financial Markets, Elsevier, vol. 32(C), pages 97-143.
    2. Helen Hui Huang & Yanjie Wang & Shunming Zhang, 2021. "Heterogeneous Beliefs, Limited Participation and Flight-to-Quality," Annals of Economics and Finance, Society for AEF, vol. 22(2), pages 467-524, November.
    3. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    4. Fourel, V. & Idier, J., 2011. "Risk aversion and Uncertainty in European Sovereign Bond Markets," Working papers 349, Banque de France.
    5. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.

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