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Citations for "Learning and Asset Prices under Ambiguous Information"

by Fabio Trojani & Markus Leippold & Paolo Vanini

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  1. Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz, 2013. "Do ambiguity effects survive in experimental asset markets?," MPRA Paper 44700, University Library of Munich, Germany.
  2. Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2012. "No good deals—no bad models," Staff Reports, Federal Reserve Bank of New York 589, Federal Reserve Bank of New York.
  3. Nengjiu Ju & Jianjun Miao, 2010. "Ambiguity, Learning, and Asset Returns," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 438, China Economics and Management Academy, Central University of Finance and Economics.
  4. Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, Elsevier, vol. 59(5), pages 493-507.
  5. Hui Chen & Nengjiu Ju & Jianjun Miao, . "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2009-015, Boston University - Department of Economics.
  6. Pástor, Luboš & Veronesi, Pietro, 2009. "Learning in Financial Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7127, C.E.P.R. Discussion Papers.
  7. 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.
  8. Gonçalo Faria & João Correia-da-Silva, 2011. "The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices," FEP Working Papers 399, Universidade do Porto, Faculdade de Economia do Porto.
  9. Claudio Campanale, 2009. "Learning, Ambiguity and Life-Cycle Portfolio Allocation," 2009 Meeting Papers, Society for Economic Dynamics 38, Society for Economic Dynamics.
  10. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, Elsevier, vol. 98(3), pages 462-477, December.
  11. 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.
  12. 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.
  13. Siddiqi, Hammad, 2009. "Ambiguity, Infra-Marginal Investors, and Market Prices," MPRA Paper 13514, University Library of Munich, Germany.
  14. Pataracchia, B., 2013. "Ambiguity aversion and heterogeneity in financial markets: An empirical and theoretical perspective," Open Access publications from Tilburg University urn:nbn:nl:ui:12-5905989, Tilburg University.
  15. Li, George, 2008. "Aggregate stock market behavior and investors' low risk aversion," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(7), pages 2349-2369, July.
  16. Döbeli, Barbara & Vanini, Paolo, 2010. "Stated and revealed investment decisions concerning retail structured products," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(6), pages 1400-1411, June.
  17. 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.
  18. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks, Collegio Carlo Alberto 315, Collegio Carlo Alberto.
  19. 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.
  20. Xiang Lin & Chunhong Zhang & Tak Siu, 2012. "Stochastic differential portfolio games for an insurer in a jump-diffusion risk process," Computational Statistics, Springer, Springer, vol. 75(1), pages 83-100, February.
  21. Beber, Alessandro & Breedon, Francis & Buraschi, Andrea, 2010. "Differences in beliefs and currency risk premiums," Journal of Financial Economics, Elsevier, Elsevier, vol. 98(3), pages 415-438, December.
  22. Philipp Karl ILLEDITSCH, 2009. "Ambiguous Information, Risk Aversion, and Asset Pricing," 2009 Meeting Papers, Society for Economic Dynamics 802, Society for Economic Dynamics.
  23. Nina Boyarchenko, 2009. "Ambiguity, Information Quality and Credit Risk," 2009 Meeting Papers, Society for Economic Dynamics 1028, Society for Economic Dynamics.