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Continuous-time smooth ambiguity preferences
16 references·1 citing·29 second hop
Continuous-time smooth ambiguity preferences (2018)Continuous-time smooth ambiguity preferen…Ambiguity, Learning, and Asset Returns (2012)Ambiguity, Learning, and Asse…Recursive smooth ambiguity preferences (2009)Recursive smooth ambiguity pr…Ambiguity Aversion, Robustness, and the Variational Representation of Preferences (2006)Ambiguity Aversion, Robustnes…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…Robust Control and Model Uncertainty (2001)Robust Control and Model Unce…Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True? (2000)Asset Pricing with Distorted …Robust Permanent Income and Pricing (1999)Robust Permanent Income and P…Optimal Consumption and Portfolio Selection with Stochastic Differential Utility (1999)Optimal Consumption and Portf…Stochastic Differential Utility (1992)Stochastic Differential Utili…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Subjective Probability and Expected Utility without Additivity (1989)Subjective Probability and Ex…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Time-Consistency of Optimal Investment under Smooth Ambiguity (2017)Time-Consistency of Optimal I…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Backward Stochastic Differential Equations in Finance (1997)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)Brownian Motion and Stochastic Calculus (2007)Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Implications of rational inattention (2003)Theory and Applications of Robust Optimization (2011)A theory of anticipated utility (1982)Prospect theory: An analysis of decision under risk (1988)Individual differences in reasoning: Implications for the rationality debate? (2000)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Trusting the Stock Market (2005)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)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)Advances in prospect theory: Cumulative representation of uncertainty (1992)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Psychology and Economics (1997)Lectures on Stochastic Programming (2009)
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References

  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2004Subjective probability and expected utility without additivity2,510 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 1989Subjective Probability and Expected Utility without Additivity2,308 cited
  • 2005A Smooth Model of Decision Making under Ambiguity1,889 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 2001Robust Control and Model Uncertainty1,349 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences1,139 cited
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  • 2012Ambiguity, Learning, and Asset Returns425 cited
  • 2009Recursive smooth ambiguity preferences395 cited
  • 2000Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?329 cited
  • 1999

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Optimal Consumption and Portfolio Selection with Stochastic Differential Utility
312 cited

Cited by

  • 2017Time-Consistency of Optimal Investment under Smooth Ambiguity33 cited