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Financial uncertainty with ambiguity and learning
Liu, Hening; Zhang, Yuzhao - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2120-2140
Persistent link: https://www.econbiz.de/10013262914
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Innovation and stock market performance : a model with ambiguity-averse agents
Grieco, Daniela - In: Journal of evolutionary economics : JEE 28 (2018) 2, pp. 287-303
Persistent link: https://www.econbiz.de/10011948948
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Good deals and benchmarks in robust portfolio selection
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: European journal of operational research : EJOR 250 (2016) 2, pp. 666-678
Persistent link: https://www.econbiz.de/10011441733
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Non-implementability of Arrow-Debreu equilibria by continuous trading under knightian uncertainty
Riedel, Frank; Beißner, Patrick - 2014
-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is … only possible if all discounted net trades of the equilibrium allocation are mean ambiguity-free. …
Persistent link: https://www.econbiz.de/10010411561
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Ambiguity effects on asset market equilibrium under two-tiered asymmetric information
Hahn, Guangsug; Kwon, Joon Yeop - In: Korea and the world economy 15 (2014) 2, pp. 243-264
Persistent link: https://www.econbiz.de/10010414239
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Cost-efficient contingent claims with market frictions
Ghossoub, Mario - In: Mathematics and financial economics 10 (2016) 1, pp. 87-111
Persistent link: https://www.econbiz.de/10011446032
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Risk, ambiguity, and equity premium : international evidence
Kim, Eung-Bin; Byun, Suk Joon - In: International review of economics & finance : IREF 76 (2021), pp. 321-335
Persistent link: https://www.econbiz.de/10013175824
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Doubts and variability : a robust perspective on exotic consumption series
Bidder, R. M.; Smith, M. E. - In: Journal of economic theory 175 (2018), pp. 689-712
Persistent link: https://www.econbiz.de/10011980773
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Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty
Beißner, Patrick; Riedel, Frank - In: Finance and stochastics 22 (2018) 3, pp. 603-620
Persistent link: https://www.econbiz.de/10011945876
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Beta uncertainty
Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 116 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012489243