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Citations for "Ambiguity, Learning, and Asset Returns"

by Ju, Nengjiu & Miao, Jianjun

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  1. Fabio Maccheroni & Massimo Marinacci & Doriana Ruffino, 2013. "Alpha as Ambiguity: Robust Mean‐Variance Portfolio Analysis," Econometrica, Econometric Society, Econometric Society, vol. 81(3), pages 1075-1113, 05.
  2. Jianjun Miao & Neng Wang, 2004. "Risk, Uncertainty, and Option Exercise," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series, Boston University - Department of Economics dp-136, Boston University - Department of Economics.
  3. 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.
  4. Hui Chen & Nengjiu Ju & Jianjun Miao, . "Dynamic Asset Allocation with Ambiguous Return Predictability," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics.
  5. Michèle Cohen & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2011. "An experimental investigation of imprecision attitude and its relation with risk attitude and impatience," Theory and Decision, Springer, Springer, vol. 71(1), pages 81-109, July.
  6. Nengjiu Ju & Jianjun Miao, . "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2009-014, Boston University - Department of Economics.
  7. Massimo Guidolin & Francesca Rinaldi, 2010. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Working Papers, Federal Reserve Bank of St. Louis 2010-028, Federal Reserve Bank of St. Louis.
  8. 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.
  9. 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), Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS 201331, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
  10. 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, Federal Reserve Bank of San Francisco 2014-16, Federal Reserve Bank of San Francisco.
  11. Traeger, Christian P., 2012. "Why uncertainty matters - discounting under intertemporal risk aversion and ambiguity," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series, Department of Agricultural & Resource Economics, UC Berkeley qt2w614303, Department of Agricultural & Resource Economics, UC Berkeley.
  12. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," Annual Review of Financial Economics, Annual Reviews, Annual Reviews, vol. 2(1), pages 315-346, December.
  13. 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.
  14. Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer, Springer, vol. 48(2), pages 469-491, October.
  15. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(9), pages 1911-1928.
  16. Christian Gollier, 2011. "Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion," Review of Economic Studies, Oxford University Press, vol. 78(4), pages 1329-1344.
  17. Yehuda Izhakian, 2012. "Ambiguity Measurement," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 12-01, New York University, Leonard N. Stern School of Business, Department of Economics.
  18. 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.
  19. Antony Millner & Simon Dietz & Geoffrey Heal, 2013. "Scientific Ambiguity and Climate Policy," Environmental & Resource Economics, European Association of Environmental and Resource Economists, European Association of Environmental and Resource Economists, vol. 55(1), pages 21-46, May.
  20. David Backus & Axelle Ferriere & Stanley Zin, 2014. "Risk and Ambiguity in Models of Business Cycles," NBER Working Papers 20319, National Bureau of Economic Research, Inc.
  21. 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.
  22. Menachem Brenner & Yehuda Izhakian, 2011. "Asset Priving and Ambiguity: Empirical Evidence," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 11-10, New York University, Leonard N. Stern School of Business, Department of Economics.
  23. Lu, Yang & Siemer, Michael, 2013. "Learning, Rare Disasters, and Asset Prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2013-85, Board of Governors of the Federal Reserve System (U.S.).
  24. 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.
  25. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks, Collegio Carlo Alberto 315, Collegio Carlo Alberto.
  26. Jayant Ganguli & Scott Condie & Philipp Karl Illeditsch, 2012. "Information Inertia," Economics Discussion Papers, University of Essex, Department of Economics 719, University of Essex, Department of Economics.
  27. Pataracchia, B., 2011. "Ambiguity and Volatility: Asset Pricing Implications," Discussion Paper, Tilburg University, Center for Economic Research 2011-042, Tilburg University, Center for Economic Research.
  28. Jianjun Miao & Bin Wei & Hao Zhou, 2012. "Ambiguity Aversion and Variance Premium," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2012-009, Boston University - Department of Economics.
  29. Yehuda Izhakian, 2012. "Capital Asset Pricing Under Ambiguity," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 12-02, New York University, Leonard N. Stern School of Business, Department of Economics.
  30. Yehuda Izhakian & David Yermack, 2014. "Risk, Ambiguity, and the Exercise of Employee Stock Options," NBER Working Papers 19975, National Bureau of Economic Research, Inc.