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A two-person dynamic equilibrium under ambiguity
16 references·16 citing·38 second hopsampled
A two-person dynamic equilibrium under ambiguity (2003)A two-person dynamic equilibrium under am…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Intertemporal asset pricing under knightian uncertainty (2004)Intertemporal asset pricing u…Recursive multiple-priors (2003)Recursive multiple-priorsAmbiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…How Distance, Language, and Culture Influence Stockholdings and Trades (2001)How Distance, Language, and C…Familiarity Breeds Investment (2001)Familiarity Breeds InvestmentTrying to Explain Home Bias in Equities and Consumption (1999)Trying to Explain Home Bias i…An Equilibrium Model with Restricted Stock Market Participation (1998)An Equilibrium Model with Res…International Portfolio Investment Flows (1997)International Portfolio Inves…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Intertemporal Asset Pricing under Knightian Uncertainty (1994)Intertemporal Asset Pricing u…Stochastic Differential Utility (1992)Stochastic Differential Utili…Preference and belief: Ambiguity and competence in choice under uncertainty (1991)Preference and belief: Ambigu…Investor Diversification and International Equity Markets (1991)Investor Diversification and …Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Survival and Long-Run Dynamics with Heterogeneous Beliefs under Recursive Preferences (2019)Survival and Long-Run Dynamic…EQUITY HOME BIAS: A REVIEW ESSAY (2018)EQUITY HOME BIAS: A REVIEW ES…Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities (2016)Portfolio Optimization with A…Dynamic asset allocation with ambiguous return predictability (2013)Dynamic asset allocation with…Inflation ambiguity and the term structure of U.S. Government bonds (2012)Inflation ambiguity and the t…Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis (2012)Alpha As Ambiguity: Robust Me…Risk, uncertainty, and option exercise (2010)Risk, uncertainty, and option…Dynamic portfolio choice under ambiguity and regime switching mean returns (2010)Dynamic portfolio choice unde…Differences in beliefs and currency risk premiums☆ (2010)Differences in beliefs and cu…Ambiguity Shifts and the 2007-2008 Financial Crisis (2010)Ambiguity Shifts and the 2007…Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification (2009)Keynes Meets Markowitz: The T…Ambiguity Aversion and the Term Structure of Interest Rates (2008)Ambiguity Aversion and the Te…Ambiguity, Learning, and Asset Returns (2007)Ambiguity, Learning, and Asse…The dynamics of risk-sensitive allocations (2004)The dynamics of risk-sensitiv…Robustness and Ambiguity Aversion in General Equilibrium (2004)Robustness and Ambiguity Aver…Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences (2003)Optimal lifetime consumption-…The equity premium: A puzzle (1985)The Penn World Table (Mark 5): An Expanded Set of International Comparisons, 1950-1988 (1991)Strategic Asset Allocation (2002)Winter Blues: A SAD Stock Market Cycle (2003)Effects on Financial Globalization on Developing Countries: Some Empirical Evidence (2004)Risk, Ambiguity, and the Savage Axioms (1961)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Individual differences in reasoning: Implications for the rationality debate? 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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2001Familiarity Breeds Investment1,920 cited
  • 1991Preference and belief: Ambiguity and competence in choice under uncertainty1,705 cited
  • 2001How Distance, Language, and Culture Influence Stockholdings and Trades1,694 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1999Trying to Explain Home Bias in Equities and Consumption1,364 cited
  • 1997International Portfolio Investment Flows1,284 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 2003Recursive multiple-priors868 cited
  • 2004Intertemporal asset pricing under knightian uncertainty597 cited
  • 1998An Equilibrium Model with Restricted Stock Market Participation591 cited
  • 1994Intertemporal Asset Pricing under Knightian Uncertainty

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543 cited

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  • 2010Risk, uncertainty, and option exercise111 cited
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  • 2012Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis88 cited
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  • 2008Ambiguity Aversion and the Term Structure of Interest Rates78 cited
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  • 2013Dynamic asset allocation with ambiguous return predictability64 cited