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Uncertainty and Risk in Financial Markets

Citations

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Cited by:

  1. Król, Michał, 2012. "Product differentiation decisions under ambiguous consumer demand and pessimistic expectations," International Journal of Industrial Organization, Elsevier, vol. 30(6), pages 593-604.
  2. Özgür Evren, 2012. "Scalarization Methods and Expected Multi-Utility Representations," Working Papers w0174, New Economic School (NES).
  3. Antoine Billot & Sujoy Mukerji & Jean-Marc Tallon, 2020. "Market Allocations under Ambiguity: A Survey," Revue économique, Presses de Sciences-Po, vol. 71(2), pages 267-282.
  4. Weidong Tian & Daisuke Yoshikawa, 2017. "Analyzing Equilibrium in Incomplete Markets with Model Uncertainty," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 235-262, June.
  5. Araujo, Aloisio & Chateauneuf, Alain & Faro, José Heleno, 2018. "Financial market structures revealed by pricing rules: Efficient complete markets are prevalent," Journal of Economic Theory, Elsevier, vol. 173(C), pages 257-288.
  6. Martins-da-Rocha, V. Filipe, 2010. "Interim efficiency with MEU-preferences," Journal of Economic Theory, Elsevier, vol. 145(5), pages 1987-2017, September.
  7. Eric Danan & Thibault Gajdos & Brian Hill & Jean-Marc Tallon, 2016. "Robust Social Decisions," American Economic Review, American Economic Association, vol. 106(9), pages 2407-2425, September.
  8. Guillaume Carlier & Rose-Anne Dana, 2013. "Pareto optima and equilibria when preferences are incompletely known," Post-Print hal-00661903, HAL.
  9. Xiaohua Zhao & Yuhuang Zheng & Fang Wan, 2020. "Unrelated efforts trigger wishful winning? The impact of extraneous efforts on judgments of winning probability among Chinese consumers," Asian Business & Management, Palgrave Macmillan, vol. 19(5), pages 560-581, November.
  10. Hye-Jin Cho, 2016. "Speculative Bubble Burst," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01306093, HAL.
  11. Patrick Beissner & Frank Riedel, 2014. "Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty," Papers 1409.6940, arXiv.org.
  12. König-Kersting, Christian & Kops, Christopher & Trautmann, Stefan T., 2023. "A test of (weak) certainty independence," Journal of Economic Theory, Elsevier, vol. 209(C).
  13. Beißner, Patrick & Riedel, Frank, 2016. "Knight-Walras equilibria," Center for Mathematical Economics Working Papers 558, Center for Mathematical Economics, Bielefeld University.
  14. B. Douglas Bernheim, 2009. "Behavioral Welfare Economics," Journal of the European Economic Association, MIT Press, vol. 7(2-3), pages 267-319, 04-05.
  15. R.A Dana & C. Le Van, 2014. "Efficient allocations and Equilibria with short," Working Papers 2014-61, Department of Research, Ipag Business School.
  16. repec:ipg:wpaper:2014-061 is not listed on IDEAS
  17. Gil Riella, 2015. "On the representation of incomplete preferences under uncertainty with indecisiveness in tastes and beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 58(3), pages 571-600, April.
  18. Karni, Edi & Vierø, Marie-Louise, 2023. "Comparative incompleteness: Measurement, behavioral manifestations and elicitation," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 423-442.
  19. Patrick Beissner & Frank Riedel, 2019. "Equilibria Under Knightian Price Uncertainty," Econometrica, Econometric Society, vol. 87(1), pages 37-64, January.
  20. Lopomo, Giuseppe & Rigotti, Luca & Shannon, Chris, 2011. "Knightian uncertainty and moral hazard," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1148-1172, May.
  21. B. Douglas Bernheim & Antonio Rangel, 2009. "Beyond Revealed Preference: Choice-Theoretic Foundations for Behavioral Welfare Economics," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 124(1), pages 51-104.
  22. Stauber, Ronald, 2011. "Knightian games and robustness to ambiguity," Journal of Economic Theory, Elsevier, vol. 146(1), pages 248-274, January.
  23. Robert G. Chambers & Tigran Melkonyan & John Quiggin, 2022. "Incomplete preferences, willingness to pay, and willingness to accept," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(3), pages 727-761, October.
  24. Gerasimou, Georgios, 2018. "On the indifference relation in Bewley preferences," Economics Letters, Elsevier, vol. 164(C), pages 24-26.
  25. Xiaohua Zhao & Yuhuang Zheng & Fang Wan, 0. "Unrelated efforts trigger wishful winning? The impact of extraneous efforts on judgments of winning probability among Chinese consumers," Asian Business & Management, Palgrave Macmillan, vol. 0, pages 1-22.
  26. Jeleva, Meglena & Tallon, Jean-Marc, 2016. "Ambiguïté, comportements et marchés financiers," L'Actualité Economique, Société Canadienne de Science Economique, vol. 92(1-2), pages 351-383, Mars-Juin.
  27. Christoph Bühren & Fabian Meier & Marco Pleßner, 2023. "Ambiguity aversion: bibliometric analysis and literature review of the last 60 years," Management Review Quarterly, Springer, vol. 73(2), pages 495-525, June.
  28. Martins-da-Rocha, Victor Filipe & Yannelis, Nicholas C., 2011. "Non-emptiness of the alpha-core," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 716, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  29. Giuseppe Lopomo & Luca Rigotti & Chris Shannon, 2021. "Uncertainty in Mechanism Design," Papers 2108.12633, arXiv.org.
  30. Won, Dong Chul & Yannelis, Nicholas C., 2011. "Equilibrium theory with satiable and non-ordered preferences," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 245-250, March.
  31. Giovanni Paolo Crespi & Andreas H. Hamel & Matteo Rocca & Carola Schrage, 2021. "Set Relations via Families of Scalar Functions and Approximate Solutions in Set Optimization," Mathematics of Operations Research, INFORMS, vol. 46(1), pages 361-381, February.
  32. Edi Karni, 2014. "Familiarity breeds completeness," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(1), pages 109-124, May.
  33. Daniela Cagno & Daniela Grieco, 2023. "Insurance Choices and Sources of Ambiguity," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 9(1), pages 295-319, March.
  34. Luciano Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 243-273, October.
  35. Chambers, Robert G., 2014. "Uncertain equilibria and incomplete preferences," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 48-54.
  36. Polak, George G. & Rogers, David F. & Sweeney, Dennis J., 2010. "Risk management strategies via minimax portfolio optimization," European Journal of Operational Research, Elsevier, vol. 207(1), pages 409-419, November.
  37. Lopomo, Giuseppe & Rigotti, Luca & Shannon, Chris, 2022. "Uncertainty and robustness of surplus extraction," Journal of Economic Theory, Elsevier, vol. 199(C).
  38. Evren, Özgür, 2014. "Scalarization methods and expected multi-utility representations," Journal of Economic Theory, Elsevier, vol. 151(C), pages 30-63.
  39. repec:ipg:wpaper:2013-016 is not listed on IDEAS
  40. repec:ipg:wpaper:201420 is not listed on IDEAS
  41. Leandro Nascimento, 2011. "Remarks on the consumer problem under incomplete preferences," Theory and Decision, Springer, vol. 70(1), pages 95-110, January.
  42. Phan, Dinh Hoang Bach & Iyke, Bernard Njindan & Sharma, Susan Sunila & Affandi, Yoga, 2021. "Economic policy uncertainty and financial stability–Is there a relation?," Economic Modelling, Elsevier, vol. 94(C), pages 1018-1029.
  43. repec:ipg:wpaper:59 is not listed on IDEAS
  44. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2023. "Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation," Management Science, INFORMS, vol. 69(4), pages 2051-2068, April.
  45. Feduzi, Alberto & Runde, Jochen, 2011. "The uncertain foundations of the welfare state," Journal of Economic Behavior & Organization, Elsevier, vol. 80(3), pages 613-627.
  46. Eric Danan, 2010. "Randomization vs. Selection: How to Choose in the Absence of Preference?," Management Science, INFORMS, vol. 56(3), pages 503-518, March.
  47. Oh, Ji Yeol Jimmy, 2014. "Ambiguity aversion, funding liquidity, and liquidation dynamics," Journal of Financial Markets, Elsevier, vol. 18(C), pages 49-76.
  48. Leonardo Pejsachowicz, 2016. "Stochastic Independence under Knightian Uncertainty," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01753323, HAL.
  49. Easley, David & O'Hara, Maureen, 2010. "Liquidity and valuation in an uncertain world," Journal of Financial Economics, Elsevier, vol. 97(1), pages 1-11, July.
  50. repec:dau:papers:123456789/5375 is not listed on IDEAS
  51. Strzalecki, Tomasz & Werner, Jan, 2011. "Efficient allocations under ambiguity," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1173-1194, May.
  52. Mihm, Maximilian, 2016. "Reference dependent ambiguity," Journal of Economic Theory, Elsevier, vol. 163(C), pages 495-524.
  53. Dana, R.A. & Le Van, C., 2014. "Efficient allocations and equilibria with short-selling and incomplete preferences," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 101-105.
  54. Sergio Santoro, 2011. "Heterogeneity and learning with complete markets," Temi di discussione (Economic working papers) 806, Bank of Italy, Economic Research and International Relations Area.
  55. Tamini, Lota D., 2012. "Optimal quality choice under uncertainty on market development," MPRA Paper 40845, University Library of Munich, Germany.
  56. Carlier, G. & Dana, R.-A., 2013. "Pareto optima and equilibria when preferences are incompletely known," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1606-1623.
  57. Ma, Wei, 2015. "The existence and efficiency of general equilibrium with incomplete markets under Knightian uncertainty," Economics Letters, Elsevier, vol. 134(C), pages 78-81.
  58. John Dickhaut & Radhika Lunawat & Kira Pronin & Jack Stecher, 2011. "Decision making and trade without probabilities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 275-288, October.
  59. Chowdhury, Mohammad Ashraful Ferdous & Meo, Muhammad Saeed & Aloui, Chaker, 2021. "How world uncertainties and global pandemics destabilized food, energy and stock markets? Fresh evidence from quantile on quantile regressions," International Review of Financial Analysis, Elsevier, vol. 76(C).
  60. Pivato, Marcus, 2013. "Multiutility representations for incomplete difference preorders," Mathematical Social Sciences, Elsevier, vol. 66(3), pages 196-220.
  61. Kelsey, David & Yalcin, Erkan, 2007. "The arbitrage pricing theorem with incomplete preferences," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 90-105, July.
  62. Matteo Burzoni & Frank Riedel & H. Mete Soner, 2021. "Viability and Arbitrage Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 89(3), pages 1207-1234, May.
  63. Dana, Rose-Anne & Riedel, Frank, 2013. "Intertemporal equilibria with Knightian uncertainty," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1582-1605.
  64. Tian, Dejian & Tian, Weidong, 2014. "Optimal risk-sharing under mutually singular beliefs," Mathematical Social Sciences, Elsevier, vol. 72(C), pages 41-49.
  65. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015.
  66. Baucells, Manel & Shapley, Lloyd S., 2008. "Multiperson utility," Games and Economic Behavior, Elsevier, vol. 62(2), pages 329-347, March.
  67. Rigotti, Luca & Shannon, Chris, 2012. "Sharing risk and ambiguity," Journal of Economic Theory, Elsevier, vol. 147(5), pages 2028-2039.
  68. ,, 2013. "Endogenous indeterminacy and volatility of asset prices under ambiguity," Theoretical Economics, Econometric Society, vol. 8(3), September.
  69. Eric Danan & Anthony Ziegelmeyer, 2004. "Are preferences incomplete? An experimental study using flexible choices," Papers on Strategic Interaction 2004-23, Max Planck Institute of Economics, Strategic Interaction Group.
  70. Alain Chateauneuf & Luciano De Castro, 2011. "Ambiguity Aversion and Absence of Trade," Discussion Papers 1535, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  71. Galanis, Spyros, 2018. "Financial complexity and trade," Games and Economic Behavior, Elsevier, vol. 112(C), pages 219-230.
  72. Hill, Brian, 2016. "Incomplete preferences and confidence," Journal of Mathematical Economics, Elsevier, vol. 65(C), pages 83-103.
  73. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2020. "Model-free bounds for multi-asset options using option-implied information and their exact computation," Papers 2006.14288, arXiv.org, revised Jan 2022.
  74. Ekaterina Svetlova & Henk van Elst, 2012. "How is non-knowledge represented in economic theory?," Papers 1209.2204, arXiv.org.
  75. Christopher P Chambers & Federico Echenique, 2021. "Empirical Welfare Economics," Papers 2108.03277, arXiv.org, revised Sep 2022.
  76. Patrick Beissner & Frank Riedel, 2018. "Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty," Finance and Stochastics, Springer, vol. 22(3), pages 603-620, July.
  77. Hye-jin Cho, 2016. "Speculative Bubble Burst," Documents de travail du Centre d'Economie de la Sorbonne 16021, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  78. Stefan T. Trautmann & Ferdinand M. Vieider & Peter P. Wakker, 2011. "Preference Reversals for Ambiguity Aversion," Management Science, INFORMS, vol. 57(7), pages 1320-1333, July.
  79. Zimper, Alexander, 2009. "Half empty, half full and why we can agree to disagree forever," Journal of Economic Behavior & Organization, Elsevier, vol. 71(2), pages 283-299, August.
  80. Rodríguez, Yeny E. & Gómez, Juan M. & Contreras, Javier, 2021. "Diversified behavioral portfolio as an alternative to Modern Portfolio Theory," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  81. Chambers, Robert G. & Melkonyan, Tigran, 2009. "Smoothing preference kinks with information," Mathematical Social Sciences, Elsevier, vol. 58(2), pages 173-189, September.
  82. Ma, Wei, 2018. "Real indeterminacy of general equilibrium under Knightian uncertainty," Journal of Mathematical Economics, Elsevier, vol. 79(C), pages 106-111.
  83. Heller, Yuval, 2012. "Justifiable choice," Games and Economic Behavior, Elsevier, vol. 76(2), pages 375-390.
  84. Weixuan Xia, 2023. "Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences," Papers 2312.00266, arXiv.org.
  85. Kajii, Atsushi & Ui, Takashi, 2009. "Interim efficient allocations under uncertainty," Journal of Economic Theory, Elsevier, vol. 144(1), pages 337-353, January.
  86. Hyejin Cho, 2015. "Speculative Bubble Burst," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01184540, HAL.
  87. Joachim Keller & Peter Praet, 2009. "Extreme events and financial system governance : some lessons from the crisis," Financial Stability Review, National Bank of Belgium, vol. 7(1), pages 127-138, June.
  88. Hyejin Cho, 2015. "Speculative Bubble Burst," Working Papers hal-01184540, HAL.
  89. Eisei Ohtaki, 2023. "Optimality in an OLG model with nonsmooth preferences," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(3), pages 611-659, September.
  90. Robert Nau, 2011. "Risk, ambiguity, and state-preference theory," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 437-467, October.
  91. Mandler, Michael, 2014. "Indecisiveness in behavioral welfare economics," Journal of Economic Behavior & Organization, Elsevier, vol. 97(C), pages 219-235.
  92. Chambers, Christopher P. & Echenique, Federico, 2012. "When does aggregation reduce risk aversion?," Games and Economic Behavior, Elsevier, vol. 76(2), pages 582-595.
  93. José Faro, 2013. "Cobb-Douglas preferences under uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 54(2), pages 273-285, October.
  94. Lo, Kin Chung, 2007. "Sharing beliefs about actions," Mathematical Social Sciences, Elsevier, vol. 53(2), pages 123-133, March.
  95. Rose-Anne Dana & Cuong Le Van, 2014. "Efficient allocations and Equilibria with short-selling and Incomplete Preferences," Post-Print halshs-01020646, HAL.
  96. Scott Condie, 2008. "Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(1), pages 81-108, July.
  97. Rinaldi, Francesca, 2009. "Endogenous incompleteness of financial markets: The role of ambiguity and ambiguity aversion," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 880-901, December.
  98. Alós-Ferrer, Carlos & Mihm, Maximilian, 2023. "An Axiomatic Characterization of Bayesian Updating," Journal of Mathematical Economics, Elsevier, vol. 104(C).
  99. Aguilar, Francisco X. & Cai, Zhen, 2010. "Exploratory analysis of prospects for renewable energy private investment in the U.S," Energy Economics, Elsevier, vol. 32(6), pages 1245-1252, November.
  100. repec:dau:papers:123456789/11268 is not listed on IDEAS
  101. Eric Danan & Anthony Ziegelmeyer, 2006. "Are preferences complete? An experimental measurement of indecisiveness under risk," Papers on Strategic Interaction 2006-01, Max Planck Institute of Economics, Strategic Interaction Group.
  102. Chakravarty, Surajeet & Kelsey, David, 2015. "Sharing ambiguous risks," Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 1-8.
  103. Edward E. Schlee & M. Ali Khan, 2022. "Money Metrics In Applied Welfare Analysis: A Saddlepoint Rehabilitation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(1), pages 189-210, February.
  104. Karni, Edi & Maccheroni, Fabio & Marinacci, Massimo, 2015. "Ambiguity and Nonexpected Utility," Handbook of Game Theory with Economic Applications,, Elsevier.
  105. repec:ipg:wpaper:16 is not listed on IDEAS
  106. Chandranath Amarasekara & Bernard Njindan Iyke & Paresh Kumar Narayan, 2022. "The role of R&D and economic policy uncertainty in Sri Lanka’s economic growth," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-19, December.
  107. Kuamvi Sodji, 2023. "Estimating the link between trade uncertainty, pandemic uncertainty and food price stability in Togo: New evidence for an asymmetric analysis," Review of Development Economics, Wiley Blackwell, vol. 27(2), pages 1113-1134, May.
  108. Leonardo Pejsachowicz, 2016. "Stochastic Independence under Knightian Uncertainty," Post-Print hal-01753323, HAL.
  109. G. Carlier & R.-A. Dana & R.-A. Dana, 2014. "Pareto optima and equilibria when preferences are incompletely known," Working Papers 2014-60, Department of Research, Ipag Business School.
  110. Hye-Jin Cho, 2016. "Speculative Bubble Burst," Post-Print halshs-01306093, HAL.
  111. Gerasimou, Georgios, 2018. "On the indifference relation in Bewley preferences," Economics Letters, Elsevier, vol. 164(C), pages 24-26.
  112. Martin Cincibuch & Matrina Horníková, 2008. "Measuring the Financial Markets’ Perception of EMU Enlargement: The Role of Ambiguity Aversion," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(05-06), pages 210-230, August.
  113. repec:ipg:wpaper:2014-060 is not listed on IDEAS
  114. Gao, Feng & Song, Fengming & Zhang, Lihong, 2007. "Coherent risk measure, equilibrium and equilibrium pricing," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 85-94, January.
  115. Evren, Özgür & Ok, Efe A., 2011. "On the multi-utility representation of preference relations," Journal of Mathematical Economics, Elsevier, vol. 47(4-5), pages 554-563.
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