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Optimal buffer stocks and precautionary savings with disappointment aversion

Aizenman, Joshua - 1995

Persistent link: https://www.econbiz.de/10000935902

On the economic benefit of utility based estimation of a volatility model

Clements, Adam; Silvennoinen, Annastiina - 2009

Persistent link: https://www.econbiz.de/10003880634

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

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

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

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

Intergenerational complementarities in education and the relationship between growth and volatility

Palybos, Theodōros (contributor); … - 2009

We construct an overlapping generations model in which parents vote on the tax rate that determines publicly provided education and offspring choose their effort in learning activities. The technology governing the accumulation of human capital allows these decisions to be strategic complements....

Persistent link: https://www.econbiz.de/10003885849

A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction

Lam, Kin; Liu, Taisheng; Wong, Wing Keung - In: European journal of operational research : EJOR 203 (2010) 1, pp. 166-175

Persistent link: https://www.econbiz.de/10003928191

Intergenerational complementarities in education, endogenous public policy, and the relation between growth and volatility

Palybos, Theodōros; Varvarigos, Dimitrios - In: Journal of public economic theory 15 (2013) 2, pp. 249-272

Persistent link: https://www.econbiz.de/10009759736

Spontaneous volatility : fooled by reflexive randomness

Schotanus, Patrick; Schurger, Aaron - In: The journal of behavioral finance : a publication of … 22 (2021) 2, pp. 201-213

Persistent link: https://www.econbiz.de/10012514173

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