Advanced Search
MyIDEAS: Login to save this article or follow this journal

A note on robustness in Merton's model of intertemporal consumption and portfolio choice

Contents:

Author Info

  • Trojani, Fabio
  • Vanini, Paolo

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6V85-4494XGC-4/2/ff81db7ea1307e954f6560567ea97472
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 26 (2002)
Issue (Month): 3 (March)
Pages: 423-435

as in new window
Handle: RePEc:eee:dyncon:v:26:y:2002:i:3:p:423-435

Contact details of provider:
Web page: http://www.elsevier.com/locate/jedc

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
  2. Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani, . "Ambiguity Aversion and the Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 08-18, Swiss Finance Institute.
  3. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(4), pages 623-640, April.
  4. Vanini, Paolo, 2012. "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper 42536, University Library of Munich, Germany.
  5. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, Review of Economic Dynamics, vol. 11(2), April.
  6. Qian Lin & Frank Riedel, 2014. "Optimal consumption and portfolio choice with ambiguity," Working Papers 497, Bielefeld University, Center for Mathematical Economics.
  7. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen.
  8. Larsen, Kasper & Zitkovic, Gordan, 2007. "Stability of utility-maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 117(11), pages 1642-1662, November.
  9. Gonçalo Faria & João Correia-da-Silva, 2012. "Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity?," FEP Working Papers 472, Universidade do Porto, Faculdade de Economia do Porto.
  10. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," NBER Working Papers 16181, National Bureau of Economic Research, Inc.
  11. Sbuelz, A. & Trojani, F., 2002. "Equilibrium Asset Pricing with Time-Varying Pessimism," Discussion Paper, Tilburg University, Center for Economic Research 2002-102, Tilburg University, Center for Economic Research.
  12. Lioui, Abraham & Poncet, Patrice, 2012. "On model ambiguity and money neutrality," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(4), pages 1020-1033.
  13. Sbuelz, Alessandro & Trojani, Fabio, 2008. "Asset prices with locally constrained-entropy recursive multiple-priors utility," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(11), pages 3695-3717, November.
  14. Nina Boyarchenko, 2009. "Ambiguity, Information Quality and Credit Risk," 2009 Meeting Papers, Society for Economic Dynamics 1028, Society for Economic Dynamics.
  15. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, Elsevier, vol. 234(2), pages 356-371.
  16. Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, Elsevier, vol. 59(5), pages 493-507.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:26:y:2002:i:3:p:423-435. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.