A Two-Person Dynamic Equilibrium under Ambiguity
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- Epstein, Larry G. & Miao, Jianjun, 2003. "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1253-1288, May.
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More about this item
Keywords
ambiguity; risk; continuous-time; asset returns; Knightian uncertainty; dynamic equilibrium; home bias;All these keywords.
JEL classification:
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
- D9 - Microeconomics - - Micro-Based Behavioral Economics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DGE-2001-02-14 (Dynamic General Equilibrium)
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