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Generalized entropy and model uncertainty

Meyer-Gohde, Alexander - 2017 - This version: August 4, 2017

I entertain a generalization of the standard Bolzmann-Gibbs-Shannon measure of entropy in multiplier preferences of … popular Epstein-Zin-Weil recursive preferences as special cases. Besides providing a model uncertainty rationale to these risk …-Zin-Weil preferences yield comparable market prices of risk for given detection error probabilities. …

Persistent link: https://www.econbiz.de/10011701075

Risk aversion or model uncertainty? : an empirical cross-sectional analysis across countries

Engel, Pedro; Almeida, Caio; Valente, João Paulo - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 321-355

Persistent link: https://www.econbiz.de/10012129516

Model uncertainty and the Forward Premium Puzzle

Djeutem, Edouard - In: Journal of international money and finance 46 (2014), pp. 16-40

Persistent link: https://www.econbiz.de/10010391022

Optimal portfolio choice with crash risk and model ambiguity

Korn, Ralf; Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10013189925

Dynamically consistent investment under model uncertainty : the robust forward criteria

Källblad, Sigrid; Obłój, Jan; … - In: Finance and stochastics 22 (2018) 4, pp. 879-918

Persistent link: https://www.econbiz.de/10011946570

Optimal monetary policy under model uncertainty without commitment

Orlik, Anna; Presno, Ignacio - 2013 - This version: October 27, 2013

This paper studies the design of optimal time-consistent monetary policy in an economy where the planner trusts its own model, while a representative household uses a set of alternative probability distributions governing the evolution of the exogenous state of the economy. In such environments,...

Persistent link: https://www.econbiz.de/10010240307