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Ambiguity, Risk, and Asset Returns in Continuous Time
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Cited by:
- Hansen, Lars Peter & Sargent, Thomas J., 2022. "Structured ambiguity and model misspecification," Journal of Economic Theory, Elsevier, vol. 199(C).
- Li, Wenhui & Wilde, Christian, 2020. "Belief formation and belief updating under ambiguity: Evidence from experiments," SAFE Working Paper Series 251, Leibniz Institute for Financial Research SAFE, revised 2020.
- Bird, Ron & Yeung, Danny, 2012.
"How do investors react under uncertainty?,"
Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 310-327.
- Ron Bird & Danny Yeung, 2010. "How Do Investors React Under Uncertainty?," Working Paper Series 8, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
- Gertsman, Gleb, 2023. "Behavioral preferences and beliefs in asset pricing," Other publications TiSEM c7196596-1bf8-47c9-a147-6, Tilburg University, School of Economics and Management.
- Li, Xinpeng & Peng, Shige, 2011. "Stopping times and related Itô's calculus with G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1492-1508, July.
- Nengjiu Ju & Jianjun Miao, 2012.
"Ambiguity, Learning, and Asset Returns,"
Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
- Nengjiu Ju & Jianjun Miao, "undated". "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series wp2009-014, Boston University - Department of Economics.
- Ju, Nengjiu & Miao, Jianjun, 2009. "Ambiguity, Learning, and Asset Returns," MPRA Paper 14737, University Library of Munich, Germany, revised Apr 2009.
- Jianjun Miao & NENGJIU JU, 2010. "Ambiguity, Learning, And Asset Returns," Boston University - Department of Economics - Working Papers Series WP2010-031, Boston University - Department of Economics.
- Nengjiu Ju & Jianjun Miao, 2010. "Ambiguity, Learning, and Asset Returns," CEMA Working Papers 438, China Economics and Management Academy, Central University of Finance and Economics.
- Biheng, Noé & Bonnisseau, Jean-Marc, 2015.
"Regular economies with ambiguity aversion,"
Journal of Mathematical Economics, Elsevier, vol. 59(C), pages 24-36.
- Noé Biheng & Jean-Marc Bonnisseau, 2013. "Regular economies with ambiguity aversion," Post-Print halshs-00922782, HAL.
- Noé Biheng & Jean-Marc Bonnisseau, 2015. "Regular economies with ambiguity aversion," Post-Print halshs-01185486, HAL.
- Noé Biheng & Jean-Marc Bonnisseau, 2013. "Regular economies with ambiguity aversion," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00922782, HAL.
- Noé Biheng & Jean-Marc Bonnisseau, 2015. "Regular economies with ambiguity aversion," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01185486, HAL.
- Noé Biheng & Jean-Marc Bonnisseau, 2015. "Regular economies with ambiguity aversion," PSE-Ecole d'économie de Paris (Postprint) halshs-01185486, HAL.
- Noé Biheng & Jean-Marc Bonnisseau, 2013. "Regular economies with ambiguity aversion," Documents de travail du Centre d'Economie de la Sorbonne 13083, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Hening Liu, 2013. "Optimal Consumption and Portfolio Choice under Ambiguity for a Mean-reverting Risk Premium in Complete Markets," Annals of Economics and Finance, Society for AEF, vol. 14(1), pages 21-52, May.
- Taiga Saito & Akihiko Takahashi, 2019. "A novel approach to asset pricing with choice of probability measures," CARF F-Series CARF-F-471, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2021.
- Larry G. Epstein & Martin Schneider, 2010.
"Ambiguity and Asset Markets,"
Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 315-346, December.
- Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," NBER Working Papers 16181, National Bureau of Economic Research, Inc.
- Hu, Mingshang & Ji, Shaolin, 2017. "Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 127(1), pages 107-134.
- Wang, Haijun, 2017. "Robust asset pricing with stochastic hyperbolic discounting," Finance Research Letters, Elsevier, vol. 21(C), pages 178-185.
- Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2019. "Dynamic risk measures for processes via backward stochastic differential equations," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 43-50.
- Milo Bianchi & Philippe Jehiel, 2008.
"Bubbles and crashes with partially sophisticated investors,"
PSE Working Papers
halshs-00586045, HAL.
- Milo Bianchi & Philippe Jehiel, 2010. "Bubbles and Crashes with Partially Sophisticated Investors," Levine's Working Paper Archive 122247000000002180, David K. Levine.
- Milo Bianchi & Philippe Jehiel, 2008. "Bubbles and crashes with partially sophisticated investors," Working Papers halshs-00586045, HAL.
- Andrea Mazzon & Peter Tankov, 2024. "Optimal stopping and divestment timing under scenario ambiguity and learning," Papers 2408.09349, arXiv.org, revised Oct 2024.
- Beißner, Patrick, 2013.
"Coherent Price Systems and Uncertainty-Neutral Valuation,"
VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order
80010, Verein für Socialpolitik / German Economic Association.
- Beißner, Patrick, 2014. "Coherent price systems and uncertainty-neutral valuation," Center for Mathematical Economics Working Papers 464, Center for Mathematical Economics, Bielefeld University.
- Athanassoglou, Stergios & Xepapadeas, Anastasios, 2012.
"Pollution control with uncertain stock dynamics: When, and how, to be precautious,"
Journal of Environmental Economics and Management, Elsevier, vol. 63(3), pages 304-320.
- Athanassoglou, Stergios & Xepapadeas, Anastasios, 2011. "Pollution Control with Uncertain Stock Dynamics: When, and How, to be Precautious," Sustainable Development Papers 101296, Fondazione Eni Enrico Mattei (FEEM).
- Fouilloux, Jessica & Moraux, Franck & Viviani, Jean-Laurent, 2015.
"Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty,"
Energy Policy, Elsevier, vol. 82(C), pages 310-320.
- Jessica Fouilloux & Franck Moraux & Jean-Laurent Viviani, 2015. "Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty," Post-Print halshs-01101996, HAL.
- Epstein, Larry G. & Ji, Shaolin, 2014.
"Ambiguous volatility, possibility and utility in continuous time,"
Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 269-282.
- Larry Epstein & Shaolin Ji, 2011. "Ambiguous Volatility, Possibility and Utility in Continuous Time," Papers 1103.1652, arXiv.org, revised Jan 2013.
- Beißner, Patrick & Lin, Qian & Riedel, Frank, 2018. "Dynamically Consistent α-Maxmin Expected Utility," Center for Mathematical Economics Working Papers 593, Center for Mathematical Economics, Bielefeld University.
- Jianjun Miao & Alejandro Rivera, 2016.
"Robust Contracts in Continuous Time,"
Econometrica, Econometric Society, vol. 84, pages 1405-1440, July.
- Jianjun Miao & Alejandro Rivera, 2016. "Robust Contracts in Continuous Time," Econometrica, Econometric Society, vol. 84(4), pages 1405-1440, July.
- Jianjun Miao & Alejandro Rivera, 2013. "Robust Contracts in Continuous Time," Boston University - Department of Economics - Working Papers Series 2013-009, Boston University - Department of Economics.
- Takao Asano, 2010. "Precautionary Principle and the Optimal Timing of Environmental Policy Under Ambiguity," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 47(2), pages 173-196, October.
- Jun Gao & Sheng Zhu & Niall O’Sullivan & Meadhbh Sherman, 2019. "The Role of Economic Uncertainty in UK Stock Returns," JRFM, MDPI, vol. 12(1), pages 1-16, January.
- 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.
- Jianjun Miao, 2004. "A Note on Consumption and Savings under Knightian Uncertainty," Annals of Economics and Finance, Society for AEF, vol. 5(2), pages 299-311, November.
- David Hirshleifer & Po-Hsuan Hsu & Dongmei Li, 2018.
"Innovative Originality, Profitability, and Stock Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 31(7), pages 2553-2605.
- David Hirshleifer & Po-Hsuan Hsu & Dongmei Li, 2017. "Innovative Originality, Profitability, and Stock Returns," NBER Working Papers 23432, National Bureau of Economic Research, Inc.
- Schroder, Mark & Skiadas, Costis, 2003. "Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 155-202, December.
- Ortoleva, Pietro, 2010.
"Status quo bias, multiple priors and uncertainty aversion,"
Games and Economic Behavior, Elsevier, vol. 69(2), pages 411-424, July.
- Ortoleva, Pietro, 2008. "Status Quo Bias, Multiple Priors and Uncertainty Aversion," MPRA Paper 12243, University Library of Munich, Germany.
- Ulrich, Maxim, 2013. "Inflation ambiguity and the term structure of U.S. Government bonds," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 295-309.
- Jorn Sass & Dorothee Westphal, 2020. "Robust Utility Maximization in a Multivariate Financial Market with Stochastic Drift," Papers 2009.14559, arXiv.org, revised May 2021.
- Michael Paetz, 2007. "Robust Control and Persistence in the New Keynesian Economy," Quantitative Macroeconomics Working Papers 20711, Hamburg University, Department of Economics.
- Sujoy Mukerji & Jean-Marc Tallon & EUREQua & CNRS - Universite Paris I., 2003.
"An overview of economic applications of David Schmeidler`s models of decision making under uncertainty,"
Economics Series Working Papers
165, University of Oxford, Department of Economics.
- Sujoy Mukerji & Jean-Marc Tallon, 2004. "An overview of economic applications of David Schmeidler's models of decision making under uncertainty," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00502534, HAL.
- Sujoy Mukerji & Jean-Marc Tallon, 2004. "An overview of economic applications of David Schmeidler's models of decision making under uncertainty," Post-Print halshs-00502534, HAL.
- Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
- Epstein, Larry G. & Schneider, Martin, 2003.
"Recursive multiple-priors,"
Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
- Larry G. Epstein & Martin Schneider, 2001. "Recursive Multiple-Priors," RCER Working Papers 485, University of Rochester - Center for Economic Research (RCER).
- Hansen, Peter G., 2022. "New formulations of ambiguous volatility with an application to optimal dynamic contracting," Journal of Economic Theory, Elsevier, vol. 199(C).
- Ali Lazrak, 2005. "Generalized stochastic differential utility and preference for information," Papers math/0503579, arXiv.org.
- Xu Lin & Sweder van Wijnbergen, "undated".
"The Social Cost of Carbon under Climate Volatility Risk,"
Tinbergen Institute Discussion Papers
23-032/IV, Tinbergen Institute.
- Lin, Xu & van Wijnbergen, Sweder, 2023. "The Social Cost of Carbon under Climate Volatility Risk," CEPR Discussion Papers 18210, C.E.P.R. Discussion Papers.
- Luo, Yulei & Young, Eric R., 2016.
"Induced uncertainty, market price of risk, and the dynamics of consumption and wealth,"
Journal of Economic Theory, Elsevier, vol. 163(C), pages 1-41.
- Luo, Yulei & Young, Eric, 2014. "Induced Uncertainty, Market Price of Risk, and the Dynamics of Consumption and Wealth," MPRA Paper 57111, University Library of Munich, Germany.
- Corgnet, Brice & Hernán-González, Roberto & Kujal, Praveen, 2020.
"On booms that never bust: Ambiguity in experimental asset markets with bubbles,"
Journal of Economic Dynamics and Control, Elsevier, vol. 110(C).
- Brice Corgnet & Roberto Hernán-González & Praveen Kujal, 2018. "On Booms That Never Bust: Ambiguity in Experimental Asset Markets with Bubbles," Working Papers 1825, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
- Brice Corgnet & Roberto Hernán-Gonzalez & Praveen Kujal, 2018. "On Booms That Never Bust: Ambiguity in Experimental Asset Markets with Bubbles," Working Papers halshs-01898435, HAL.
- Brice Corgnet & Roberto Hernán-González & Praveen Kujal, 2018. "On Booms That Never Bust: Ambiguity in Experimental Asset Markets with Bubbles," Working Papers 18-15, Chapman University, Economic Science Institute.
- Brice Corgnet & Roberto Hernán-Gonzalez & Praveen Kujal, 2020. "On booms that never bust: Ambiguity in experimental asset markets with bubbles," Post-Print halshs-03031385, HAL.
- Jianjun Miao, 2009.
"Ambiguity, Risk and Portfolio Choice under Incomplete Information,"
Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 257-279, November.
- Jianjun Miao, "undated". "Ambiguity, Risk and Portfolio Choice under Incomplete Information," Boston University - Department of Economics - Working Papers Series wp2009-019, Boston University - Department of Economics.
- Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
- Perroni, Carlo & Scharf, Kimberley, 2003.
"Viable Tax Constitutions,"
The Warwick Economics Research Paper Series (TWERPS)
683, University of Warwick, Department of Economics.
- Perroni, Carlo & Scharf, Kimberley A., 2003. "Viable Tax Constitutions," Economic Research Papers 269567, University of Warwick - Department of Economics.
- Roger J. A. Laeven & John G. M. Schoenmakers & Nikolaus F. F. Schweizer & Mitja Stadje, 2020. "Robust Multiple Stopping -- A Pathwise Duality Approach," Papers 2006.01802, arXiv.org, revised Sep 2021.
- Shuang Li & Haijun Wang, 2023. "Robust irreversible investment strategy with ambiguity to jump and diffusion risk," International Review of Finance, International Review of Finance Ltd., vol. 23(3), pages 645-665, September.
- So, Leh-chyan, 2013. "Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis," MPRA Paper 52493, University Library of Munich, Germany.
- Wei Chen, 2013. "Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty," Papers 1306.4070, arXiv.org.
- Jeleva, Meglena & Tallon, Jean-Marc, 2016.
"Ambiguïté, comportements et marchés financiers,"
L'Actualité Economique, Société Canadienne de Science Economique, vol. 92(1-2), pages 351-383, Mars-Juin.
- Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01109639, HAL.
- Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01410661, HAL.
- Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Post-Print halshs-01109639, HAL.
- Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," Post-Print hal-01410661, HAL.
- Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," PSE-Ecole d'économie de Paris (Postprint) hal-01410661, HAL.
- 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.
- Christoph Bühren & Fabian Meier & Marco Pleßner, 2023. "Ambiguity aversion: bibliometric analysis and literature review of the last 60 years," Management Review Quarterly, Springer, vol. 73(2), pages 495-525, June.
- Hackbarth, Dirk & Miao, Jianjun, 2012.
"The dynamics of mergers and acquisitions in oligopolistic industries,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 585-609.
- Dirk Hackbarth & Jianjun Maio, 2007. "The Dynamics of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series WP2007-017, Boston University - Department of Economics.
- Jianjun Miao & Dirk Hackbarth, 2011. "The dynamics of mergers and acquisitions in oligopolistic industries," Boston University - Department of Economics - Working Papers Series WP2011-029, Boston University - Department of Economics.
- Miao, Jianjun & Wang, Neng, 2011.
"Risk, uncertainty, and option exercise,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 442-461, April.
- Jianjun Miao & Neng Wang, 2004. "Risk, Uncertainty, and Option Exercise," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-136, Boston University - Department of Economics.
- Jianjun Miao & Neng Wang, 2007. "Risk, Uncertainty, and Option Exercise," Boston University - Department of Economics - Working Papers Series WP2007-016, Boston University - Department of Economics.
- Jianjun Miao & Neng Wang, 2010. "Risk, uncertainty,and option exercise," Boston University - Department of Economics - Working Papers Series WP2010-029, Boston University - Department of Economics.
- Jianjun Miao, 2004. "Risk, uncertainty and option exercise," Finance 0410013, University Library of Munich, Germany.
- Michael Barnett & Greg Buchak & Constantine Yannelis, 2023.
"Epidemic responses under uncertainty,"
Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 120(2), pages 2208111120-, January.
- Michael Barnett & Greg Buchak & Constantine Yannelis, 2020. "Epidemic Responses Under Uncertainty," NBER Working Papers 27289, National Bureau of Economic Research, Inc.
- Michael Barnett & Greg Buchak & Constantine Yannelis, 2020. "Epidemic Responses Under Uncertainty," Working Papers 2020-72, Becker Friedman Institute for Research In Economics.
- Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
- Samuel Drapeau & Peng Luo & Dewen Xiong, 2017. "Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization," Papers 1703.02694, arXiv.org, revised Sep 2019.
- Qian Lin & Frank Riedel, 2021. "Optimal consumption and portfolio choice with ambiguous interest rates and volatility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 1189-1202, April.
- Turan G. Bali & Hao Zhou, 2011.
"Risk, uncertainty, and expected returns,"
Finance and Economics Discussion Series
2011-45, Board of Governors of the Federal Reserve System (U.S.).
- Turan G. Bali & Hao Zhou, 2013. "Risk, Uncertainty, and Expected Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1306, Koc University-TUSIAD Economic Research Forum.
- Xuekang Zhang & Shounian Deng & Weiyin Fei, 2023. "Nonparametric Estimation of Trend for Stochastic Processes Driven by G-Brownian Motion with Small Noise," Methodology and Computing in Applied Probability, Springer, vol. 25(2), pages 1-14, June.
- Danilo Cascaldi-Garcia & Cisil Sarisoy & Juan M. Londono & Bo Sun & Deepa D. Datta & Thiago Ferreira & Olesya Grishchenko & Mohammad R. Jahan-Parvar & Francesca Loria & Sai Ma & Marius Rodriguez & Ilk, 2023.
"What Is Certain about Uncertainty?,"
Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.
- Danilo Cascaldi-Garcia & Deepa Dhume Datta & Thiago Revil T. Ferreira & Olesya V. Grishchenko & Mohammad R. Jahan-Parvar & Juan M. Londono & Francesca Loria & Sai Ma & Marius del Giudice Rodriguez & J, 2020. "What is Certain about Uncertainty?," International Finance Discussion Papers 1294, Board of Governors of the Federal Reserve System (U.S.).
- Jorn Sass & Dorothee Westphal, 2019. "Robust Utility Maximizing Strategies under Model Uncertainty and their Convergence," Papers 1909.01830, arXiv.org, revised Nov 2021.
- Shigeta, Yuki, 2020.
"Gain/loss asymmetric stochastic differential utility,"
Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
- Yuki SHIGETA, 2019. "Gain/Loss Asymmetric Stochastic Differential Utility," Discussion papers e-19-004, Graduate School of Economics , Kyoto University.
- Fousseni Chabi-Yo & Eric Ghysels & Eric Renault, 2008. "On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk," Staff Working Papers 08-16, Bank of Canada.
- Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2017.
"Volatility of aggregate volatility and hedge fund returns,"
Journal of Financial Economics, Elsevier, vol. 125(3), pages 491-510.
- Vikas Agarwal & Eser Arisoy & Narayan y Naik, 2015. "Volatility of Aggregate Volatility and Hedge Fund Returns," Post-Print hal-01412976, HAL.
- Vikas Agarwal & Eser Arisoy & Narayan Y. Naik, 2017. "Volatility of Aggregate Volatility and Hedge Fund Returns," Post-Print hal-01634155, HAL.
- Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
- Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Sujoy Mukerji & Han N. Ozsoylev & Jean‐Marc Tallon, 2023.
"Trading Ambiguity: A Tale Of Two Heterogeneities,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1127-1164, August.
- Sujoy Mukerji & Han N Ozsoylev & Jean-Marc Tallon, 2018. "Trading ambiguity: a tale of two heterogeneities," Working Papers halshs-01935319, HAL.
- Sujoy Mukerji & Han N Ozsoylev & Jean‐marc Tallon, 2023. "Trading ambiguity: a tale of two heterogeneities," PSE-Ecole d'économie de Paris (Postprint) halshs-03962563, HAL.
- Sujoy Mukerji & Han N Ozsoylev & Jean‐marc Tallon, 2023. "Trading ambiguity: a tale of two heterogeneities," Post-Print halshs-03962563, HAL.
- Hansen, Lars Peter, 2013. "Risk Pricing over Alternative Investment Horizons," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1571-1611, Elsevier.
- Zhang, Huanjun & Yan, Zhiguo, 2020. "Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control," Applied Mathematics and Computation, Elsevier, vol. 369(C).
- Treich, Nicolas, 2010.
"The value of a statistical life under ambiguity aversion,"
Journal of Environmental Economics and Management, Elsevier, vol. 59(1), pages 15-26, January.
- Nicolas Treich, 2008. "The Value of a Statistical Life under Ambiguity Aversion," CESifo Working Paper Series 2291, CESifo.
- TREICH Nicolas, 2008. "The value of a Statistical Life under Ambiguity Aversion," LERNA Working Papers 08.05.249, LERNA, University of Toulouse.
- Larry G. Epstein & Martin Schneider, 2007.
"Learning Under Ambiguity,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1275-1303.
- Larry Epstein & Martin Schneider, 2002. "Learning Under Ambiguity," RCER Working Papers 497, University of Rochester - Center for Economic Research (RCER), revised Mar 2005.
- Larry Epstein & Martin Schneider, 2006. "Learning Under Ambiguity," RCER Working Papers 527, University of Rochester - Center for Economic Research (RCER).
- Wahid Faidi, 2022. "Optimal investment and consumption under logarithmic utility and uncertainty model," Papers 2211.05367, arXiv.org, revised Jun 2024.
- David Wozabal, 2012. "A framework for optimization under ambiguity," Annals of Operations Research, Springer, vol. 193(1), pages 21-47, March.
- Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2009.
"Ambiguity Aversion and the Term Structure of Interest Rates,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4157-4188, October.
- Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen.
- Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2008. "Ambiguity Aversion and the Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series 08-19, Swiss Finance Institute.
- Kozhan, Roman & Schmid, Wolfgang, 2009. "Asset allocation with distorted beliefs and transaction costs," European Journal of Operational Research, Elsevier, vol. 194(1), pages 236-249, April.
- Changhong Guo & Shaomei Fang & Yong He, 2023. "A Generalized Stochastic Process: Fractional G-Brownian Motion," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-34, March.
- Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2013. "Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach," EconomiX Working Papers 2013-28, University of Paris Nanterre, EconomiX.
- Larry G. Epstein, 2001. "Sharing Ambiguity," American Economic Review, American Economic Association, vol. 91(2), pages 45-50, May.
- Wachter, Jessica A. & Warusawitharana, Missaka, 2015.
"What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio,"
Journal of Econometrics, Elsevier, vol. 186(1), pages 74-93.
- Jessica A. Wachter & Missaka Warusawitharana, 2011. "What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio," NBER Working Papers 17334, National Bureau of Economic Research, Inc.
- Keisuke Kizaki & Taiga Saito & Akihiko Takahashi, 2024. "Multi-agent Equilibrium Model with Heterogeneous Views on Fundamental Risks in Incomplete Market," CARF F-Series CARF-F-578, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Zhang, Jian & Kong, Dongmin & Liu, Hening & Wu, Ji, 2019. "Asset pricing with time varying pessimism and rare disasters," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 165-175.
- Izhakian, Yehuda, 2020. "A theoretical foundation of ambiguity measurement," Journal of Economic Theory, Elsevier, vol. 187(C).
- Constantinos Antoniou & Emilios C. Galariotis & Daniel Read, 2014. "Ambiguity Aversion, Company Size and the Pricing of Earnings Forecasts," European Financial Management, European Financial Management Association, vol. 20(3), pages 633-651, June.
- Gao, Yongling & Driouchi, Tarik & Bennett, David J., 2018. "Ambiguity aversion in buyer-seller relationships: A contingent-claims and social network explanation," International Journal of Production Economics, Elsevier, vol. 200(C), pages 50-67.
- Dirk Becherer & Klebert Kentia, 2017. "Hedging under generalized good-deal bounds and model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(1), pages 171-214, August.
- Martin Szydlowski, 2012. "Ambiguity in Dynamic Contracts," Discussion Papers 1543, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Itzhak Ben-David & John R. Graham & Campbell R. Harvey, 2007. "Managerial Overconfidence and Corporate Policies," NBER Working Papers 13711, National Bureau of Economic Research, Inc.
- Carole Bernard & Shaolin Ji & Weidong Tian, 2013. "An optimal insurance design problem under Knightian uncertainty," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(2), pages 99-124, November.
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