Showing 1 - 9 of 9
This paper considers learning when the distinction between risk and ambiguity matters. It first describes thought …
Persistent link: https://www.econbiz.de/10005200802
The paper considers an agent who must choose an action today under uncertainty about the consequence of any chosen action but without having in mind a complete list of all the contingencies that could influence outcomes. She conceives of some relevant (subjective) contingencies but she is aware...
Persistent link: https://www.econbiz.de/10005200804
This paper describes a pure-exchange, continuous-time economy with two heterogeneous agents and complete markets. A novel feature of the economy is that agents perceive some security returns as ambiguous in the sense often attributed to frank Knight. The equilibrium is described completely in...
Persistent link: https://www.econbiz.de/10005808127
The inability of the Bayesian model to accomodate Ellsberg-type behavior is well known. This paper focuses on another limitation of the Bayesian model, specific to a dynamic setting, namely the inability to permit a distinction between experiments that are identical and those that are only...
Persistent link: https://www.econbiz.de/10005808190
and that the model is consistent with a rich set of possibilities for dynamic behavior under ambiguity. …
Persistent link: https://www.econbiz.de/10005808194
illustrated by the Ellsberg Paradox, this feature rules out a priori any concern with ambiguity. This paper formulates a … continuous-time intertemporal version of multiple-priors utility, where aversion to ambiguity is admissible. When applied to a … premium for risk and a seperate premium for ambiguity. …
Persistent link: https://www.econbiz.de/10005503965
When ambiguity averse investors process news of uncertain quality, they act as if they take a worst-case assessment of … returns, increase price volatility and induce ambiguity premia that depend on idiosyncratic risk in fundamentals. Moreover …
Persistent link: https://www.econbiz.de/10005504015
This paper considers learning when the distinction between risk and ambiguity (Knightian uncertainty) matters. Working … that cannot be captured by noisy signals. They induce nonmonotonic changes in agent confidence and prevent ambiguity from … participation costs that depend on past market performance. Hedging of ambiguity provides a new reason why the investment horizon …
Persistent link: https://www.econbiz.de/10005504040
When ambiguity averse investors process news of uncertain quality, they act as if they take a worst-case assessment of … induce ambiguity premia that depend on idiosyncratic risk in fundamentals. Moreover, shocks to information quality can have …
Persistent link: https://www.econbiz.de/10005504043