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On the economic benefit of utility based estimation of a volatility model
Clements, Adam; Silvennoinen, Annastiina - 2009
Persistent link: https://www.econbiz.de/10003880634
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Ambiguous volatility, possibility and utility in continuous time
Epstein, Larry G.; Jib, Shaolin - In: Journal of mathematical economics 50 (2014), pp. 269-282
Persistent link: https://www.econbiz.de/10010478634
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Optimal buffer stocks and precautionary savings with disappointment aversion
Aizenman, Joshua - 1995
Persistent link: https://www.econbiz.de/10000935902
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Ambiguous Volatility and Asset Pricing in Continuous Time
Epstein, Larry G. - 2013
This paper formulates a model of utility for a continuous time frame-work that captures the decision-maker's concern … with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are …, sharper predictions can be obtained by assuming preference maximization and equilibrium. Thus we apply the model of utility to …
Persistent link: https://www.econbiz.de/10013088933
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Ambiguous volatility and asset pricing in continuous time
Epstein, Larry G.; Ji, Shaolin - In: The review of financial studies 26 (2013) 7, pp. 1740-1786
Persistent link: https://www.econbiz.de/10009778359
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Robust control and CAPMs under a quadratic model with inflation-deflation risk
Batbold, Bolorsuvd; Kikuchi, Kentaro; Kusuda, Koji - 2024
Persistent link: https://www.econbiz.de/10014549675
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Rumors in financial markets : insights into a perceived mystery
Schindler, Mark - 2005
Persistent link: https://www.econbiz.de/10003339004
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Problematik, Relevanz und Ursachen übermäßiger Aktienkursbewegungen
Hense, Andreas; Fissahn, Juliane; Tücking, Ebbo - In: Entscheidungsorientierte Volkswirtschaftslehre : …, (pp. 97-118). 2005
Persistent link: https://www.econbiz.de/10003345103
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Natural expectations and macroeconomic fluctuations
Fuster, Andreas; Laibson, David I.; Mendel, Brock - In: The journal of economic perspectives : EP ; a journal … 24 (2010) 4, pp. 67-84
Persistent link: https://www.econbiz.de/10008906886
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"Behavioral econometric" interpretation of dynamic supply and demand functions in a market pricing model
Wang, Joseph K. - In: International journal of theoretical and applied finance 4 (2001) 4, pp. 635-650
Persistent link: https://www.econbiz.de/10001600366