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Dynamically Consistent α-Maxmin Expected Utility
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References

  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 2004Differentiating ambiguity and ambiguity attitude915 cited
  • 2003Recursive multiple-priors868 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 2007Choice under uncertainty with the best and worst in mind: Neo-additive capacities456 cited
  • 2003Chapter 13 Consumption-based asset pricing320 cited
  • 2002Consumption-Based Asset Pricing239 cited
  • 2003A two-person dynamic equilibrium under ambiguity233 cited
  • 2013Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis170 cited
  • 2012Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis88 cited

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