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Uncertainty, Risk-Neutral Measures and Security Price Booms and Crashes

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Author Info
Epstein Larry G.
Wang Tan

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Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 67 (1995)
Issue (Month): 1 (October)
Pages: 40-82
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Handle: RePEc:eee:jetheo:v:67:y:1995:i:1:p:40-82

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Web page: http://www.elsevier.com/locate/inca/622869

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  2. Fabio Panetta & Roberto Violi, 1999. "Is there an Equity Premium Puzzle in Italy? A Look at Asset Returns, Consumption and Financial Structure Data over the Last Century," Temi di discussione (Economic working papers) 353, Bank of Italy, Economic Research Department. [Downloadable!]
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  3. Sujoy Mukerji & Jean-Marc Tallon, 2002. "Ellsberg`s 2-Color Experiment, Bid-Ask Behavior and Ambiguity," Economics Series Working Papers 114, University of Oxford, Department of Economics. [Downloadable!]
  4. Tan Wang, 2000. "Updating Rules for Non-Bayesian Preferences," Econometric Society World Congress 2000 Contributed Papers 0157, Econometric Society. [Downloadable!]
  5. Kiyohiko G. Nishimura & Hiroyuki Ozaki, 2001. "Search under the Knightian Uncertainty," CIRJE F-Series CIRJE-F-112, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  6. Itzhak Gilboa & Andrew Postlewaite & David Schmeidler, 2004. "Rationality of Belief Or: Why Savage's axioms are neither necessary nor sufficient for rationality, Second Version," PIER Working Paper Archive 07-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 03 Jan 2007. [Downloadable!]
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  7. Takao Asano, 2004. "Portfolio Inertia under Ambiguity," ISER Discussion Paper 0609, Institute of Social and Economic Research, Osaka University. [Downloadable!]
  8. Larry Epstein, 1997. "Uncertainty Aversion," Working Papers epstein-97-01, University of Toronto, Department of Economics. [Downloadable!]
  9. Jianjun Miao & Neng Wang, 2004. "Risk, Uncertainty, and Option Exercise," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-136, Boston University - Department of Economics. [Downloadable!]
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  10. Cao , Henry & Han, Bing & Hirshleifer, David & Zhang, Harold, 2007. "Fear of the Unknown: Familiarity and Economic Decisions," MPRA Paper 6512, University Library of Munich, Germany. [Downloadable!]
  11. Wen-Fang Liu, 1998. "Heterogeneous Agent Economies with Knightian Uncertainty," Discussion Papers in Economics at the University of Washington 0053, Department of Economics at the University of Washington. [Downloadable!]
  12. Andreas Lehnert & Wayne Passmore, 1999. "Pricing systemic crises: monetary and fiscal policy when savers are uncertain," Finance and Economics Discussion Series 1999-33, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  13. Takao Asano, 2004. "Portfolio Inertia and [Epsilon]-Contaminations," ISER Discussion Paper 0610, Institute of Social and Economic Research, Osaka University. [Downloadable!]
  14. Vardas, Giannis & XEPAPADEAS, Anastasios, 2008. "Model Uncertainty, Ambiguity and the Precautionary Principle: Implications for Biodiversity Management," MPRA Paper 10236, University Library of Munich, Germany. [Downloadable!]
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