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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

Practicable robust stochastic optimization under divergence measures with an application to equitable humanitarian response planning

Caunhye, Aakil M.; Alem, Douglas - In: OR spectrum : quantitative approaches in management 45 (2023) 3, pp. 759-806

Persistent link: https://www.econbiz.de/10014328547

Consumption volatility ambiguity and risk premium's time-variation

Müller, Janis; Posch, Peter N. - In: Finance research letters 29 (2019), pp. 336-339

Persistent link: https://www.econbiz.de/10012419198

On stochastic independence under ambiguity

Ceron, Federica; Vergopoulos, Vassilios - In: Economic theory 71 (2021) 3, pp. 925-960

Persistent link: https://www.econbiz.de/10012584388

Random ambiguity

Lu, Jay - In: Theoretical economics : TE ; an open access journal in … 16 (2021) 2, pp. 539-570

We introduce a model of random ambiguity aversion. Choice is stochastic due to unobserved shocks to both information … and ambiguity aversion. This is modeled as a random set of beliefs in the maxmin expected utility model of Gilboa and … Schmeidler (1989). We characterize the model and show that the distribution of ambiguity aversion can be uniquely identified …

Persistent link: https://www.econbiz.de/10012587418