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Robustness and Ambiguity Aversion in General Equilibrium
16 references·10 citing·32 second hop
Robustness and Ambiguity Aversion in General Equilibrium (2004)Robustness and Ambiguity Aversion in Gene…Maxmin expected utility with non-unique prior (2010)Maxmin expected utility with …Robustness (2007)RobustnessRobust Portfolio Rules and Asset Pricing (2004)Robust Portfolio Rules and As…Intertemporal asset pricing under knightian uncertainty (2004)Intertemporal asset pricing u…Recursive multiple-priors (2003)Recursive multiple-priorsModel Misspecification and Underdiversification (2003)Model Misspecification and Un…A Smooth Model of Decision Making Under Ambiguity (2003)A Smooth Model of Decision Ma…A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection (2003)A Quartet of Semigroups for M…Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…Robust Permanent Income and Pricing (1999)Robust Permanent Income and P…Dynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…Intertemporal Asset Pricing under Knightian Uncertainty (1994)Intertemporal Asset Pricing u…Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio (1992)Uncertainty Aversion, Risk Av…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Expected utility with purely subjective non-additive probabilities (1987)Expected utility with purely …Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Investors’ Uncertainty and Stock Market Risk (2019)Investors’ Uncertainty and St…Fear of the Market or Fear of the Competitor? Ambiguity in a Real Options Game (2018)Fear of the Market or Fear of…Is stochastic volatility relevant for dynamic portfolio choice under ambiguity? (2014)Is stochastic volatility rele…Ambiguity Aversion in Standard and Extended Ellsberg Frameworks: -Maxmin versus Maxmin Preferences ∗ (2014)Ambiguity Aversion in Standar…A closed-form solution for options with ambiguity about stochastic volatility (2014)A closed-form solution for op…The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices (2012)The price of risk and ambigui…Inflation ambiguity and the term structure of U.S. Government bonds (2012)Inflation ambiguity and the t…Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature (2010)Ambiguity in Asset Pricing an…Ambiguity Aversion and the Term Structure of Interest Rates (2007)Ambiguity Aversion and the Te…Incomplete information equilibria: Separation theorems and other myths (2006)Incomplete information equili…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Asset Pricing at the Millennium (2000)Portfolio Selection in Stochastic Environments (2006)Risk, Uncertainty and Profit (1921)The General Theory of Employment, Interest and Money. (1936)The equity premium: A puzzle (1985)An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks (2004)Managing the Risk of Uncertain Threshold Responses: Comparison of Robust, Optimum, and Precautionary Approaches (2007)Subjective probability and expected utility without additivity (2004)Personality Psychology and Economics (2011)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)A Smooth Model of Decision Making under Ambiguity (2005)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Collective Risk Management in a Flight to Quality Episode (2007)Theory of games and economic behavior (2019)A theory of anticipated utility (1982)Risk attitudes and decision weights (1995)Ellsberg Revisited: An Experimental Study (2007)Advances in Prospect Theory: Cumulative Representation of Uncertainty (2016)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Robust Control and Model Uncertainty (2001)Ambiguity, Information Quality, and Asset Pricing (2008)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Model Specification and Risk Premia: Evidence from Futures Options (2007)Pricing Uncertainty Induced by Climate Change (2019)
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References

  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 2003Recursive multiple-priors868 cited
  • 1987Expected utility with purely subjective non-additive probabilities818 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • 1992Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio776 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 2003A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection635 cited
  • 2004Intertemporal asset pricing under knightian uncertainty597 cited
  • 1994Intertemporal Asset Pricing under Knightian Uncertainty543 cited
  • 2010Maxmin expected utility with non-unique prior484 cited
  • 1999Robust Permanent Income and Pricing476 cited
  • 2003Model Misspecification and Underdiversification474 cited
  • 2003A Smooth Model of Decision Making Under Ambiguity434 cited
  • 2007Robustness430 cited

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Cited by

  • 2012Inflation ambiguity and the term structure of U.S. Government bonds75 cited
  • 2006Incomplete information equilibria: Separation theorems and other myths53 cited
  • 2014A closed-form solution for options with ambiguity about stochastic volatility27 cited
  • 2007Ambiguity Aversion and the Term Structure of Interest Rates26 cited
  • 2018Fear of the Market or Fear of the Competitor? Ambiguity in a Real Options Game25 cited
  • 2019Investors’ Uncertainty and Stock Market Risk25 cited
  • 2012The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices24 cited
  • 2010Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature24 cited
  • 2014Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?18 cited
  • 2014Ambiguity Aversion in Standard and Extended Ellsberg Frameworks: -Maxmin versus Maxmin Preferences ∗0 cited