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Modelling under ambiguity with dynamically consistent Choquet random walks and Choquet–Brownian motions
16 references·5 citing·33 second hop
Modelling under ambiguity with dynamically consistent Choquet random walks and Choquet–Brownian motions (2014)Modelling under ambiguity with dynamicall…A Smooth Model of Decision Making under Ambiguity (2005)A Smooth Model of Decision Ma…Subjective probability and expected utility without additivity (2004)Subjective probability and ex…Intertemporal asset pricing under knightian uncertainty (2004)Intertemporal asset pricing u…Differentiating ambiguity and ambiguity attitude (2004)Differentiating ambiguity and…Recursive multiple-priors (2003)Recursive multiple-priorsLimit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio (1992)Uncertainty Aversion, Risk Av…Subjective Probability and Expected Utility without Additivity (1989)Subjective Probability and Ex…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 …An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …The decision and the organization (1965)The decision and the organiza…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Investors’ Uncertainty and Stock Market Risk (2019)Investors’ Uncertainty and St…Asymmetric Choquet random walks and ambiguity aversion or seeking (2017)Asymmetric Choquet random wal…The Schmeidler expected utility model : Theory, implications, and an application to European call options (2016)The Schmeidler expected utili…Corporate financing decisions under ambiguity: Pecking order and liquidity policy implications (2016)Corporate financing decisions…Option implied ambiguity and its information content: Evidence from the subprime crisis (2015)Option implied ambiguity and …Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)A theory of anticipated utility (1982)The Dual Theory of Choice under Risk (1987)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Psychology and Economics (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Risk Aversion in the Small and in the Large (1964)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Risk Aversion in the Laboratory (2008)Sensitivity analysis: A review of recent advances (2015)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)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)Optimal contracts and competitive markets with costly state verification (1979)Networks: Between markets and hierarchies (1986)The Analytic Hierarchy Process—An Exposition (2001)
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References

  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2004Subjective probability and expected utility without additivity2,510 cited
  • 1989Subjective Probability and Expected Utility without Additivity2,308 cited
  • 2005A Smooth Model of Decision Making under Ambiguity1,889 cited
  • 1965The decision and the organization1,148 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 2004Differentiating ambiguity and ambiguity attitude915 cited
  • 2003Recursive multiple-priors868 cited
  • 1987Expected utility with purely subjective non-additive probabilities818 cited
  • 1992Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio776 cited
  • 2004Intertemporal asset pricing under knightian uncertainty

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Cited by

  • 2016Corporate financing decisions under ambiguity: Pecking order and liquidity policy implications52 cited
  • 2015Option implied ambiguity and its information content: Evidence from the subprime crisis35 cited
  • 2019Investors’ Uncertainty and Stock Market Risk25 cited
  • 2017Asymmetric Choquet random walks and ambiguity aversion or seeking4 cited
  • 2016The Schmeidler expected utility model : Theory, implications, and an application to European call options0 cited