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Persistent link: https://www.econbiz.de/10009711686
"Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing." "Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis,...
Persistent link: https://www.econbiz.de/10003752218
Persistent link: https://www.econbiz.de/10003567809
Persistent link: https://www.econbiz.de/10011376466
Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis,...
Persistent link: https://www.econbiz.de/10014488100
Preferences are defined over payoffs that are contingent on a finite number of states representing a horse race (Knightian uncertainty) and a roulette (objective risk). The class of scale-invariant (SI) ambiguity-averse preferences, in a broad sense, is uniquely characterized by a multiple-prior...
Persistent link: https://www.econbiz.de/10011688977
This paper contains a formulation of conditional preferences and their aggregation across states of nature and time that is consistent with, but does not imply, an expected utility representation of preferences, state-independence, or consequentialism. Under weak consistency conditions, the...
Persistent link: https://www.econbiz.de/10012235823
Preferences are defined over payoffs that are contingent on a finite number of states representing a horse race (Knightian uncertainty) and a roulette (objective risk). The class of scale-invariant (SI) ambiguity-averse preferences, in a broad sense, is uniquely characterized by a multiple-prior...
Persistent link: https://www.econbiz.de/10011599476
This paper presents an axiomatic foundation for recursive utility that captures the role of the timing of resolution of uncertainty without relying on exogenously specified objective beliefs. Two main representation results are proved. In the first one, future utility enters the recursion...
Persistent link: https://www.econbiz.de/10005371023
This paper analyzes two equivalent equilibrium notions under asymmetric information: risk neutral rational expectations equilibria (rn-REE), and common knowledge equilibria. We show that the set of fully informative rn-REE is a singleton, and we provide necessary and sufficient conditions for...
Persistent link: https://www.econbiz.de/10005371149