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Irreversibilities and the optimal timing of environmental policy under Knightian uncertainty

Asano, Takao - 2005

In this paper, we consider a problem in environmental policy design by applying optimal stopping rules. The purpose of this paper is to analyze the optimal timings at which the government should adopt environmental policies to deal with increases in greenhouse gas concentrations and to reduce...

Persistent link: https://www.econbiz.de/10010332424

Dynamically consistent alpha-maxmin expected utility

Beißner, Patrick; Lin, Qian; Riedel, Frank - 2017

ambiguity and ambiguity attitude. These preferences are dynamically inconsistent for nontrivial versions of ». In this paper, we …

Persistent link: https://www.econbiz.de/10012042132

An axiomatic foundation of entropic preferences under Knightian uncertainty

Baumgärtner, Stefan; Engler, John-Oliver - 2018

Decision-making about economy-environment systems is often characterized by deep uncertainties. We provide an axiomatic foundation of preferences over lotteries with known payoffs over known states of nature and unknown probabilities of these outcomes (“Knightian uncertainty"). We elaborate...

Persistent link: https://www.econbiz.de/10011892016

Granny versus Game Theorst: Ambiguity in Experimental Games

Eichberger, Jürgen; Kelsey, David H.; Schipper, Burkhard C. - 2006

comparative statics of equilibrium with respect to changes in strategic ambiguity. We find that subjects face higher ambiguity … while playing against the granny than playing against the game theorist if we assume that subjects are ambiguity averse …. Moreover, under the same assumption, subjects choose more secure actions in games more prone to ambiguity which is in line with …

Persistent link: https://www.econbiz.de/10010276585

Dark clouds or silver linings? Knightian uncertainty and climate change

Chen, Yu-fu; Funke, Michael; Glanemann, Nicole - 2011

-time real option modelling framework. We analytically determine optimal intertemporal climate policies under ambiguity …

Persistent link: https://www.econbiz.de/10010277366

A Knightian irreversible investment problem

Ferrari, Giorgio; Li, Hanwu; Riedel, Frank - 2020

In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple priors, we prove existence and uniqueness of the optimal investment plan, and derive necessary and sufficient...

Persistent link: https://www.econbiz.de/10012388851

Expectations concordance and stock market volatility: Knightian uncertainty in the year of the pandemic

Frydman, Roman; Mangee, Nicholas - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-13

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which...

Persistent link: https://www.econbiz.de/10013201204

Optimal consumption with intertemporal substitution under knightian uncertainty

Ferrari, Giorgio; Li, Hanwu; Riedel, Frank - 2020

We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing functional is nonlinear. We prove existence and uniqueness of the...

Persistent link: https://www.econbiz.de/10012606394

Optimal consumption and portfolio choice with ambiguous interest rates and volatility

Lin, Qian; Riedel, Frank - In: Economic Theory 71 (2020) 3, pp. 1189-1202

We study continuous-time consumption and portfolio choice in the presence of Knightian uncertainty about interest rates. We develop the stochastic model that involves singular priors and analyze optimal behavior. When there is sufficiently large uncertainty about interest rates, the agent...

Persistent link: https://www.econbiz.de/10014503877

Ambiguity in a real option game

Hellmann, Tobias; Thijssen, Jacco J. J. - 2015

strongly rectangular set of priors. We develop a strategy and equilibrium concept allowing for ambiguity and show that … motion and kappa-ambiguity does not equate to "lowest trend". …

Persistent link: https://www.econbiz.de/10011282341