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Robust Control and Model Uncertainty

In: UNCERTAINTY WITHIN ECONOMIC MODELS

Citations

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Cited by:

  1. Hansen, Lars Peter & Sargent, Thomas J., 2022. "Structured ambiguity and model misspecification," Journal of Economic Theory, Elsevier, vol. 199(C).
  2. Beißner, Patrick & Khan, M. Ali, 2019. "On Hurwicz–Nash equilibria of non-Bayesian games under incomplete information," Games and Economic Behavior, Elsevier, vol. 115(C), pages 470-490.
  3. Yam, Sheung Chi Phillip & Yang, Hailiang & Yuen, Fei Lung, 2016. "Optimal asset allocation: Risk and information uncertainty," European Journal of Operational Research, Elsevier, vol. 251(2), pages 554-561.
  4. Hernández-Hernández Daniel & Schied Alexander, 2006. "Robust utility maximization in a stochastic factor model," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-17, July.
  5. Lorenzo Maria Stanca, 2023. "Recursive Preferences, Correlation Aversion, and the Temporal Resolution of Uncertainty," Papers 2304.04599, arXiv.org, revised Jan 2025.
  6. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
  7. Wu, Yaoyao & Yang, Jinqiang & Zou, Zhentao, 2017. "Dynamic corporate investment and liquidity management under model uncertainty," Economics Letters, Elsevier, vol. 155(C), pages 9-13.
  8. 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.
  9. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 315-346, December.
  10. Karantounias, Anastasios G., 2023. "Doubts about the model and optimal policy," Journal of Economic Theory, Elsevier, vol. 210(C).
  11. Lihua Lei & Roshni Sahoo & Stefan Wager, 2023. "Policy Learning under Biased Sample Selection," Papers 2304.11735, arXiv.org.
  12. Stanca, Lorenzo, 2023. "Robust Bayesian choice," Mathematical Social Sciences, Elsevier, vol. 126(C), pages 94-106.
  13. Andrea Attar & Thomas Mariotti & François Salanié, 2022. "Regulating Insurance Markets: Multiple Contracting And Adverse Selection," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(3), pages 981-1020, August.
  14. Xepapadeas, Anastasios, 2024. "Uncertainty and climate change: The IPCC approach vs decision theory," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 109(C).
  15. Athanasios Orphanides & John C. Williams, 2002. "Robust Monetary Policy Rules with Unknown Natural Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 33(2), pages 63-146.
  16. Tobias Adrian & Nina Boyarchenko, 2012. "Intermediary leverage cycles and financial stability," Staff Reports 567, Federal Reserve Bank of New York, revised 01 Feb 2015.
  17. Francesca Rondina, 2010. "Policy evaluation and uncertainty about the effects of oil prices on economic activity," UFAE and IAE Working Papers 855.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  18. Chateauneuf, Alain & Faro, José Heleno, 2009. "Ambiguity through confidence functions," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 535-558, September.
  19. Martins-da-Rocha, V. Filipe, 2010. "Interim efficiency with MEU-preferences," Journal of Economic Theory, Elsevier, vol. 145(5), pages 1987-2017, September.
  20. Eric Danan & Thibault Gajdos & Brian Hill & Jean-Marc Tallon, 2016. "Robust Social Decisions," American Economic Review, American Economic Association, vol. 106(9), pages 2407-2425, September.
  21. ,, 2016. "Objective rationality and uncertainty averse preferences," Theoretical Economics, Econometric Society, vol. 11(2), May.
  22. Ilke Aydogan & Loïc Berger & Valentina Bosetti & Ning Liu, 2023. "Three Layers of Uncertainty," Journal of the European Economic Association, European Economic Association, vol. 21(5), pages 2209-2236.
  23. Simone Cerreia-Vioglio & Lars Peter Hansen & Fabio Maccheroni & Massimo Marinacci, 2020. "Making Decisions under Model Misspecification," Papers 2008.01071, arXiv.org, revised Aug 2022.
  24. Spyros Galanis, 2021. "Speculative trade and the value of public information," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 23(1), pages 53-68, February.
  25. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2009. "Portfolio Selection With Monotone Mean‐Variance Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 487-521, July.
  26. Xin Li & Borghan N. Narajabad & Ted Temzelides, 2014. "Robust Dynamic Optimal Taxation and Environmental Externalities," Finance and Economics Discussion Series 2014-75, Board of Governors of the Federal Reserve System (U.S.).
  27. repec:esx:essedp:719 is not listed on IDEAS
  28. Johannes Emmerling & Vassiliki Manoussi & Anastasios Xepapadeas, 2016. "Climate Engineering under Deep Uncertainty and Heterogeneity," Working Papers 2016.52, Fondazione Eni Enrico Mattei.
  29. John H. Cochrane, 2016. "The Habit Habit," Economics Working Papers 16105, Hoover Institution, Stanford University.
  30. Spyros Galanis, 2021. "Dynamic consistency, valuable information and subjective beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(4), pages 1467-1497, June.
  31. 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.
  32. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
  33. Bloise, G. & Van, C. Le & Vailakis, Y., 2024. "An approximation approach to dynamic programming with unbounded returns," Journal of Mathematical Economics, Elsevier, vol. 111(C).
  34. Sreyoshi Das & Camelia M Kuhnen & Stefan Nagel, 2020. "Socioeconomic Status and Macroeconomic Expectations," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 395-432.
  35. Diederik Aerts & Emmanuel Haven & Sandro Sozzo, 2018. "A proposal to extend expected utility in a quantum probabilistic framework," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 65(4), pages 1079-1109, June.
  36. Chang-Chih Chen & Chia-Chien Chang, 2019. "How Big are the Ambiguity-Based Premiums on Mortgage Insurances?," The Journal of Real Estate Finance and Economics, Springer, vol. 58(1), pages 133-157, January.
  37. Xin Hai & Gregoire Loeper & Kihun Nam, 2023. "Data-driven Multiperiod Robust Mean-Variance Optimization," Papers 2306.16681, arXiv.org, revised Jul 2023.
  38. Itzhak Gilboa & Andrew Postlewaite & Larry Samuelson & David Schmeidler, 2011. "Economic Models as Analogies," PIER Working Paper Archive 12-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  39. Matthias Lang, 2017. "First-Order and Second-Order Ambiguity Aversion," Management Science, INFORMS, vol. 63(4), pages 1254-1269, April.
  40. David Blake & Marco Morales & Jing Ai & Patrick L. Brockett & Linda L. Golden & Wei Zhu, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 319-343, April.
  41. Konstantinos Angelopoulos & Jim Malley, 2010. "Fear of Model Misspecification and the Robustness Premium," CESifo Working Paper Series 3186, CESifo.
  42. de Oliveira Souza, Thiago, 2019. "Macro-finance and factor timing: Time-varying factor risk and price of risk premiums," Discussion Papers on Economics 7/2019, University of Southern Denmark, Department of Economics.
  43. repec:hal:journl:hal-03031751 is not listed on IDEAS
  44. Alexei Onatski & Noah Williams, 2003. "Modeling Model Uncertainty," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1087-1122, September.
  45. Loïc Berger & Louis Eeckhoudt, 2020. "Risk, Ambiguity, And The Value Of Diversification," Working Papers hal-02910906, HAL.
  46. Kim, Dong-Hyuk, 2013. "Optimal choice of a reserve price under uncertainty," International Journal of Industrial Organization, Elsevier, vol. 31(5), pages 587-602.
  47. Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
  48. Xiaohong Chen & Lars Peter Hansen & Peter G. Hansen, 2020. "Robust identification of investor beliefs," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 117(52), pages 33130-33140, December.
  49. Carvalho, M., 2011. "Essays in behavioral microeconomic theory," Other publications TiSEM 97fbb10e-5f12-420b-b8c4-e, Tilburg University, School of Economics and Management.
  50. Baillon, Aurélien & Bleichrodt, Han & Li, Chen & Wakker, Peter P., 2021. "Belief hedges: Measuring ambiguity for all events and all models," Journal of Economic Theory, Elsevier, vol. 198(C).
  51. Ekaterina Pirozhkova, 2017. "Financial frictions and robust monetary policy in the models of New Keynesian framework," BCAM Working Papers 1701, Birkbeck Centre for Applied Macroeconomics.
  52. Adam – Nelu ALTĂR – SAMUEL, 2008. "Robust Monetary Policy," Journal of Information Systems & Operations Management, Romanian-American University, vol. 2(2), pages 475-486, November.
  53. H. Henry Cao & Bing Han & David Hirshleifer & Harold H. Zhang, 2011. "Fear of the Unknown: Familiarity and Economic Decisions," Review of Finance, European Finance Association, vol. 15(1), pages 173-206.
  54. Schied, Alexander, 2005. "Optimal investments for risk- and ambiguity-averse preferences: A duality approach," SFB 649 Discussion Papers 2005-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  55. Dennis, Richard & Leitemo, Kai & Söderström, Ulf, 2009. "Methods for robust control," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1604-1616, August.
  56. Yosra Baaziz, 2015. "Estimating Interest Rate Setting Behavior in Brazil: A LSTR Model Approach," Economies, MDPI, vol. 3(2), pages 1-17, April.
  57. Filippin, Antonio & Paccagnella, Marco, 2012. "Family background, self-confidence and economic outcomes," Economics of Education Review, Elsevier, vol. 31(5), pages 824-834.
  58. Lars E. O. Svensson, 2005. "Targeting versus instrument rules for monetary policy: what is wrong with McCallum and Nelson?," Review, Federal Reserve Bank of St. Louis, vol. 87(Sep), pages 613-626.
  59. Qin, Li & Sidiropoulos, Moïse & Spyromitros, Eleftherios, 2013. "Robust monetary policy under model uncertainty and inflation persistence," Economic Modelling, Elsevier, vol. 30(C), pages 721-728.
  60. Massimo Guidolin & Francesca Rinaldi, 2010. "A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 105-135.
  61. Giuseppe De Marco & Maria Romaniello, 2013. "Games Equilibria and the Variational Representation of Preferences," CSEF Working Papers 336, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  62. Farzad Pourbabaee, 2022. "Robust experimentation in the continuous time bandit problem," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(1), pages 151-181, February.
  63. Gino Cateau, 2005. "Monetary Policy under Model and Data-Parameter Uncertainty," Staff Working Papers 05-6, Bank of Canada.
  64. Brock, W. A. & Xepapadeas, A., 2015. "Modeling Coupled Climate, Ecosystems, and Economic Systems," Climate Change and Sustainable Development 206837, Fondazione Eni Enrico Mattei (FEEM).
  65. Ortoleva, Pietro, 2010. "Status quo bias, multiple priors and uncertainty aversion," Games and Economic Behavior, Elsevier, vol. 69(2), pages 411-424, July.
  66. Rose-Anne Dana & Cuong Le Van, 2008. "No-arbitrage, overlapping sets of priors and the existence of efficient allocations and equilibria in the presence of risk and ambiguity," Documents de travail du Centre d'Economie de la Sorbonne b08039, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
  67. Simon Quemin, 2016. "Intertemporal abatement decisions under ambiguity aversion in a cap and trade," Working Papers 1604, Chaire Economie du climat.
  68. Epstein, Larry G. & Schneider, Martin, 2003. "Recursive multiple-priors," Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
  69. Loïc Berger & Massimo Marinacci, 2020. "Model Uncertainty in Climate Change Economics: A Review and Proposed Framework for Future Research," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 77(3), pages 475-501, November.
  70. I. Gilboa & A. Postlewaite & L. Samuelson & D. Schmeidler, 2015. "Economic models as analogies," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 4.
  71. Hansen, Peter G., 2022. "New formulations of ambiguous volatility with an application to optimal dynamic contracting," Journal of Economic Theory, Elsevier, vol. 199(C).
  72. Julio Backhoff-Veraguas & Patrick Beissner & Ulrich Horst, 2019. "Robust Contracting in General Contract Spaces," Papers 1910.12516, arXiv.org, revised Mar 2021.
  73. Hu, Jian & Bansal, Manish & Mehrotra, Sanjay, 2018. "Robust decision making using a general utility set," European Journal of Operational Research, Elsevier, vol. 269(2), pages 699-714.
  74. Lars Peter Hansen, 2013. "Challenges in Identifying and Measuring Systemic Risk," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 15-30, National Bureau of Economic Research, Inc.
  75. Hanany Eran & Klibanoff Peter, 2009. "Updating Ambiguity Averse Preferences," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 9(1), pages 1-53, November.
  76. repec:esx:essedp:770 is not listed on IDEAS
  77. Francesco Fabbri & Giulio Principi & Lorenzo Stanca, 2024. "Absolute and Relative Ambiguity Attitudes," Papers 2406.01343, arXiv.org, revised Jun 2024.
  78. Patrick Beissner & Frank Riedel, 2019. "Equilibria Under Knightian Price Uncertainty," Econometrica, Econometric Society, vol. 87(1), pages 37-64, January.
  79. 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.
  80. Stanca Lorenzo, 2023. "Recursive preferences, correlation aversion, and the temporal resolution of uncertainty," Working papers 080, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
  81. Jan A. Van Mieghem, 2003. "Commissioned Paper: Capacity Management, Investment, and Hedging: Review and Recent Developments," Manufacturing & Service Operations Management, INFORMS, vol. 5(4), pages 269-302, July.
  82. İhsan Yanıkoğlu & Dick den Hertog, 2013. "Safe Approximations of Ambiguous Chance Constraints Using Historical Data," INFORMS Journal on Computing, INFORMS, vol. 25(4), pages 666-681, November.
  83. Takashi Nishiwaki, 2020. "Does Ambiguity Generate Demand for Options?," Working Papers 2011, Waseda University, Faculty of Political Science and Economics.
  84. Giannis Vardas & Anastasios Xepapadeas, 2010. "Model Uncertainty, Ambiguity and the Precautionary Principle: Implications for Biodiversity Management," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 45(3), pages 379-404, March.
  85. Gérard Mondello, 2022. "Information Source's Reliability," GREDEG Working Papers 2022-21, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France, revised Oct 2022.
  86. Arnulfo Rodriguez, 2004. "Robust Control: A Note on the Timing of Model Uncertainty," Computing in Economics and Finance 2004 147, Society for Computational Economics.
  87. Sigrid Källblad, 2017. "Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals," Finance and Stochastics, Springer, vol. 21(2), pages 397-425, April.
  88. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
  89. Hennlock, Magnus, 2009. "Robust Control in Global Warming Management: An Analytical Dynamic Integrated Assessment," RFF Working Paper Series dp-09-19, Resources for the Future.
  90. 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.
  91. repec:hum:wpaper:sfb649dp2006-007 is not listed on IDEAS
  92. So, Leh-chyan, 2013. "Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis," MPRA Paper 52493, University Library of Munich, Germany.
  93. Beber, Alessandro & Breedon, Francis & Buraschi, Andrea, 2010. "Differences in beliefs and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 98(3), pages 415-438, December.
  94. William Brock & Anastasios Xepapadeas & Athanasios Yannacopoulos, 2014. "Spatiotemporal robust control in infinite dimensional spaces," DEOS Working Papers 1405, Athens University of Economics and Business.
  95. Keith Kuester & Volker Wieland, 2010. "Insurance Policies for Monetary Policy in the Euro Area," Journal of the European Economic Association, MIT Press, vol. 8(4), pages 872-912, June.
  96. Hill, Brian, 2009. "Confidence and ambiguity," HEC Research Papers Series 914, HEC Paris.
  97. 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.
  98. Soumyadip Ghosh & Henry Lam, 2019. "Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees," Operations Research, INFORMS, vol. 67(1), pages 232-249, January.
  99. Lucas Bretschger & Karen Pittel, 2020. "Twenty Key Challenges in Environmental and Resource Economics," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 77(4), pages 725-750, December.
  100. Christoph Kuzmics & Brian W. Rogers & Xiannong Zhang, 2024. "Randomization advice and ambiguity aversion," Journal of Risk and Uncertainty, Springer, vol. 69(1), pages 85-104, August.
  101. Kwon, Hyosung & Miao, Jianjun, 2017. "Three types of robust Ramsey problems in a linear-quadratic framework," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 211-231.
  102. Amine Ismail & Huy^en Pham, 2016. "Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix ," Papers 1610.06805, arXiv.org, revised Mar 2017.
  103. David Kendrick & Hans Amman, 2006. "A Classification System for Economic Stochastic Control Models," Computational Economics, Springer;Society for Computational Economics, vol. 27(4), pages 453-481, June.
  104. Pierpaolo Battigalli & Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci, 2017. "Mixed extensions of decision problems under uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(4), pages 827-866, April.
  105. 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.
  106. Stijn Van Nieuwerburgh & Laura Veldkamp, 2009. "Information Immobility and the Home Bias Puzzle," Journal of Finance, American Finance Association, vol. 64(3), pages 1187-1215, June.
  107. André, Eric, 2016. "Crisp monetary acts in multiple-priors models of decision under ambiguity," Journal of Mathematical Economics, Elsevier, vol. 67(C), pages 153-161.
  108. Snehal Banerjee & Jesse Davis & Naveen Gondhi, 2024. "Choosing to Disagree: Endogenous Dismissiveness and Overconfidence in Financial Markets," Journal of Finance, American Finance Association, vol. 79(2), pages 1635-1695, April.
  109. Li, Jian, 2019. "The K-armed bandit problem with multiple priors," Journal of Mathematical Economics, Elsevier, vol. 80(C), pages 22-38.
  110. Anastasios Xepapadeas & Catarina Roseta-Palma, 2003. "Instabilities and Robust Control in Fisheries," Working Papers 2003.110, Fondazione Eni Enrico Mattei.
  111. Horst, Ulrich & Xia, Xiaonyu & Zhou, Chao, 2021. "Portfolio Liquidation under Factor Uncertainty," Rationality and Competition Discussion Paper Series 274, CRC TRR 190 Rationality and Competition.
  112. 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.
  113. Junyi Chai & Zhiquan Weng & Wenbin Liu, 2021. "Behavioral Decision Making in Normative and Descriptive Views: A Critical Review of Literature," JRFM, MDPI, vol. 14(10), pages 1-14, October.
  114. David K Levine, 2024. "Method of Moments and Maximum Likelihood in the Laboratory," Levine's Working Paper Archive 11694000000000208, David K. Levine.
  115. Guohui Guan & Zongxia Liang & Yi Xia, 2024. "Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty," Papers 2412.09171, arXiv.org.
  116. Suen, Richard M. H., 2022. "Precautionary Saving Behaviour under Ambiguity," MPRA Paper 114382, University Library of Munich, Germany.
  117. Leonardo Martinez & Francisco Roch & Francisco Roldán & Jeromin Zettelmeyer, 2023. "Sovereign debt," Chapters, in: Refet S. Gürkaynak & Jonathan H. Wright (ed.), Research Handbook of Financial Markets, chapter 17, pages 378-405, Edward Elgar Publishing.
    • Mr. Leonardo Martinez & Mr. Francisco Roch & Francisco Roldán & Mr. Jeromin Zettelmeyer, 2022. "Sovereign Debt," IMF Working Papers 2022/122, International Monetary Fund.
    • Leonardo Martinez & Francisco Roch & Francisco Roldan & Jeromin Zettelmeyer, 2022. "Sovereign Debt," Working Papers 167, Red Nacional de Investigadores en Economía (RedNIE).
  118. Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021. "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," Finance and Economics Discussion Series 2021-063, Board of Governors of the Federal Reserve System (U.S.).
  119. 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.
  120. Faro, José Heleno, 2015. "Variational Bewley preferences," Journal of Economic Theory, Elsevier, vol. 157(C), pages 699-729.
  121. Dan A. Iancu & Mayank Sharma & Maxim Sviridenko, 2013. "Supermodularity and Affine Policies in Dynamic Robust Optimization," Operations Research, INFORMS, vol. 61(4), pages 941-956, August.
  122. Frederik S. Herzberg, 2013. "The (im)possibility of collective risk measurement: Arrovian aggregation of variational preferences," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 1(1), pages 69-92, May.
  123. Axelle Ferriere & Anastasios G. Karantounias, 2019. "Fiscal Austerity in Ambiguous Times," American Economic Journal: Macroeconomics, American Economic Association, vol. 11(1), pages 89-131, January.
  124. Marciano Siniscalchi, 2009. "Vector Expected Utility and Attitudes Toward Variation," Econometrica, Econometric Society, vol. 77(3), pages 801-855, May.
  125. Robert Tetlow & Peter von zur Muehlen, 2004. "Avoiding Nash Inflation: Bayesian and Robus Responses to Model Uncertainty," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(4), pages 869-899, October.
  126. Bassanin, Marzio & Faia, Ester & Patella, Valeria, 2021. "Ambiguity attitudes and the leverage cycle," Journal of International Economics, Elsevier, vol. 129(C).
  127. Won, Dong Chul & Yannelis, Nicholas C., 2011. "Equilibrium theory with satiable and non-ordered preferences," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 245-250, March.
  128. Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor, 2016. "Robust optimal risk sharing and risk premia in expanding pools," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 182-195.
  129. Lars Peter Hansen, 2013. "Challenges in Identifying and Measuring Systemic Risk," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 15-30, National Bureau of Economic Research, Inc.
  130. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "Very long-run discount rates," Globalization Institute Working Papers 182, Federal Reserve Bank of Dallas.
  131. Timothy Cogley & Boyan Jovanovic, 2022. "Structural Breaks in an Endogenous Growth Model," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(2), pages 666-694.
  132. Li, Jian, 2020. "Preferences for partial information and ambiguity," Theoretical Economics, Econometric Society, vol. 15(3), July.
  133. 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.
  134. Paolo Ghirardato & Daniele Pennesi, 2023. "Randomizing without randomness," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(4), pages 1009-1037, May.
  135. Meyer-Gohde, Alexander, 2019. "Generalized entropy and model uncertainty," Journal of Economic Theory, Elsevier, vol. 183(C), pages 312-343.
  136. 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.
  137. Wu, Yaoyao & Hu, Fan, 2024. "Optimal investment and capital structure under Knightian uncertainty," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  138. Hui Chen & Winston Wei Dou & Leonid Kogan, 2024. "Measuring “Dark Matter” in Asset Pricing Models," Journal of Finance, American Finance Association, vol. 79(2), pages 843-902, April.
  139. Saghafian, Soroush, 2018. "Ambiguous partially observable Markov decision processes: Structural results and applications," Journal of Economic Theory, Elsevier, vol. 178(C), pages 1-35.
  140. Ministry of Finance, 2021. "Saving Lives and Livelihoods 01 Amidst a Once-in-a-Century Crisis: Chapter I, Economic Survey 2020-21," Working Papers id:13133, eSocialSciences.
  141. William A. Brock & Anastasios Xepapadeas & Athanasios N. Yannacopoulos, 2014. "Robust Control of a Spatially Distributed Commercial Fishery," Dynamic Modeling and Econometrics in Economics and Finance, in: Elke Moser & Willi Semmler & Gernot Tragler & Vladimir M. Veliov (ed.), Dynamic Optimization in Environmental Economics, edition 127, pages 215-241, Springer.
  142. Izhakian, Yehuda, 2020. "A theoretical foundation of ambiguity measurement," Journal of Economic Theory, Elsevier, vol. 187(C).
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