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Citations for "Ambiguity, Learning, and Asset Returns"

by Ju, Nengjiu & Miao, Jianjun

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  1. Massimo Guidolin & Francesca Rinaldi, 2011. "Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature," Working Papers 417, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  2. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 315-346, December.
  3. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2013. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," NBER Working Papers 19705, National Bureau of Economic Research, Inc.
  4. Jianjun Miao, 2004. "Risk, uncertainty and option exercise," Finance 0410013, EconWPA.
  5. Michèle Cohen & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2011. "An experimental investigation of imprecision attitude and its relation with risk attitude and impatience," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00502820, HAL.
  6. Gollier, Christian, 2009. "Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion," IDEI Working Papers 357, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2011.
  7. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
  8. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
  9. Menachem Brenner & Yehuda Izhakian, 2011. "Asset Priving and Ambiguity: Empirical Evidence," Working Papers 11-10, New York University, Leonard N. Stern School of Business, Department of Economics.
  10. Antony Millner & Simon Dietz & Geoffrey Heal, 2013. "Scientific Ambiguity and Climate Policy," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 55(1), pages 21-46, May.
  11. Jayant Ganguli & Scott Condie & Philipp Karl Illeditsch, 2012. "Information Inertia," Economics Discussion Papers 719, University of Essex, Department of Economics.
  12. Nengjiu Ju & Jianjun Miao, . "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series wp2009-014, Boston University - Department of Economics.
  13. Hui Chen & Nengjiu Ju & Jianjun Miao, 2008. "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-179, Boston University - Department of Economics, revised Feb 2009.
  14. Bidder, Rhys & Dew-Becker, Ian, 2014. "Long-run risk is the worst-case scenario: ambiguity aversion and non-parametric estimation of the endowment process," Working Paper Series 2014-16, Federal Reserve Bank of San Francisco.
  15. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00594096, HAL.
  16. Treich, Nicolas, 2010. "The value of a statistical life under ambiguity aversion," Journal of Environmental Economics and Management, Elsevier, vol. 59(1), pages 15-26, January.
  17. Traeger, Christian P, 2008. "Why uncertainty matters - discounting under intertemporal risk aversion and ambiguity," CUDARE Working Paper Series 1092R2, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy, revised Jan 2012.
  18. Yehuda Izhakian & David Yermack, 2014. "Risk, Ambiguity, and the Exercise of Employee Stock Options," NBER Working Papers 19975, National Bureau of Economic Research, Inc.
  19. Claudio Campanale, 2011. "Learning, Ambiguity and Life-Cycle Portfolio Allocation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(2), pages 339-367, April.
  20. Fabio Maccheroni & Massimo Marinacci & Doriana Ruffino, 2013. "Alpha as Ambiguity: Robust Mean‐Variance Portfolio Analysis," Econometrica, Econometric Society, vol. 81(3), pages 1075-1113, 05.
  21. Pataracchia, B., 2011. "Ambiguity and Volatility: Asset Pricing Implications," Discussion Paper 2011-042, Tilburg University, Center for Economic Research.
  22. Jianjun Miao & Bin Wei & Hao Zhou, 2012. "Ambiguity Aversion and Variance Premium," Boston University - Department of Economics - Working Papers Series WP2012-009, Boston University - Department of Economics.
  23. Pakos, Michal, 2013. "Long-Run Risk and Hidden Growth Persistence," MPRA Paper 47217, University Library of Munich, Germany.
  24. Yehuda Izhakian, 2012. "Ambiguity Measurement," Working Papers 12-01, New York University, Leonard N. Stern School of Business, Department of Economics.
  25. Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer, vol. 48(2), pages 469-491, October.
  26. Yehuda Izhakian, 2012. "Capital Asset Pricing Under Ambiguity," Working Papers 12-02, New York University, Leonard N. Stern School of Business, Department of Economics.
  27. Luo, Yulei & Young, Eric, 2014. "Induced Uncertainty, Market Price of Risk, and the Dynamics of Consumption and Wealth," MPRA Paper 57111, University Library of Munich, Germany.
  28. Lu, Yang & Siemer, Michael, 2013. "Learning, Rare Disasters, and Asset Prices," Finance and Economics Discussion Series 2013-85, Board of Governors of the Federal Reserve System (U.S.).
  29. Aurélien Baillon & Han Bleichrodt & Umut Keskin & Olivier L'Haridon & Author-Name: Chen Li, 2013. "Learning under ambiguity: An experiment using initial public offerings on a stock market," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 201331, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.