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ArticleA two-person dynamic equilibrium under ambiguity

Larry G. Epstein2003

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Articlegreen2003

A two-person dynamic equilibrium under ambiguity

Larry G. Epstein · Jianjun Miao

233 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Economic theories and models Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

2007Brownian Motion and Stochastic Calculus 1989Maxmin expected utility with non-unique prior 1991Investor Diversification and International Equity Markets 1997Backward Stochastic Differential Equations in Finance 2001Familiarity Breeds Investment 1991Preference and belief: Ambiguity and competence in choice under uncertainty 2001How Distance, Language, and Culture Influence Stockholdings and Trades 1988Brownian Motion and Stochastic Calculus

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2010Risk, uncertainty, and option exercise 2003Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences 2010Differences in beliefs and currency risk premiums☆2016Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities 2010Dynamic portfolio choice under ambiguity and regime switching mean returns 2019Survival and Long-Run Dynamics with Heterogeneous Beliefs under Recursive Preferences

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Year2003

Typearticle

Published2003-02-12

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations233

Files0 public / 0

ShelfEconomic theories and models

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doi10.1016/s0165-1889(02)00059-3

openalex_workW2170217852

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