This paper presents a new asset pricing model incorporating fundamental uncertainties by choice of a probability measure. This approach is novel in that we incorporate uncertainties on Brownian motions describing risks into the existing asset pricing model. Particularly, we show extensions of...

This paper considers a new problem for portfolio optimization with a choice of a probability measure, particularly, an optimal investment problem under sentiments. Firstly, we formulate the problem as a sup-sup-inf problem consisting of optimal investment and a choice of a probability measure...

This paper develops an incomplete equilibrium model with multi-agents' different risk attitudes and heterogeneous income/payout profiles. Particularly, we apply its concrete and computationally tractable model to reinsurance derivatives pricing and life-cycle investment, which are important for...