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Decision making in times of Knightian uncertainty : an info-gap perspective
Ben-Haim, Yakov; Demertzis, Maria - 2016
The distinction of risk vs uncertainty as made by Knight has important implications for policy selection. Assuming the …
Persistent link: https://www.econbiz.de/10011544781
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Asymmetries in risk premia, macroeconomic uncertainty and business cycles
Görtz, Christoph; Yeromonahos, Mallory - 2019
A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different … measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk …
Persistent link: https://www.econbiz.de/10012129784
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Decision making in times of Knightian uncertainty : an info-gap perspective
Ben-Haim, Yakov; Demertzis, Maria - 2015
The distinction of risk vs uncertainty as made by Knight has important implications for policy selection. Assuming the …
Persistent link: https://www.econbiz.de/10011279652
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Viability and arbitrage under Knightian Uncertainty
Burzoni, M.; Riedel, Florian; Soner, Halil Mete - 2017
expectations. Classical financial markets under risk and no ambiguity are contained as special cases, including various forms of …
Persistent link: https://www.econbiz.de/10011697263
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Viability and arbitrage under Knightian uncertainty
Burzoni, Matteo; Riedel, Frank; Soner, Halil Mete - 2017
expectations. Classical financial markets under risk and no ambiguity are contained as special cases, including various forms of …
Persistent link: https://www.econbiz.de/10011874707
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Business decision-making under uncertainty : evidence from employment and number of businesses
Ghosal, Vivek; Ye, Yang - 2013
Using the framework provided by the asymmetric-information and real-options theories, we examine the impact of uncertainty on firms' decisions and market outcomes. We construct alternative measures of uncertainty based on survey of professional forecasters and our estimation of regression-based...
Persistent link: https://www.econbiz.de/10009764986
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Radner equilibria under ambiguous volatility
Beißner, Patrick - 2013
The present paper considers a class of general equilibrium economics when the primitive uncertainty model features uncertainty about continuous-time volatility. This requires a set of mutually singular priors, which do not share the same null sets. For this setting we introduce an appropriate...
Persistent link: https://www.econbiz.de/10010212527
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Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles
Görtz, Christoph - 2019
A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different … measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk …
Persistent link: https://www.econbiz.de/10012858207
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Facing Up to Uncertainty : Using Probabilistic Approaches in Valuation
Damodaran, Aswath - 2018
second is decision trees, suited for projects or businesses that have to deal with sequential risk, where you have to make it …
Persistent link: https://www.econbiz.de/10012912396
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Stability of No-Arbitrage Property Under Model Uncertainty
Ostrovski, Vladimir - 2017
We study the stability of the no-arbitrage property under model uncertainty. We measure model uncertainty with the total variation distance of underlying probability distributions. We show that sufficiently small changes of the underlying probability distribution preserve the no-arbitrage...
Persistent link: https://www.econbiz.de/10012973797