Dynamically consistent Choquet random walk and real investments
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- Robert Kast & André Lapied, 2010. "Dynamically consistent Choquet random walk and real investments," Working Papers halshs-00533826, HAL.
References listed on IDEAS
- Robert Kast & André Lapied & Pascal Toquebeuf, 2008. "Updating Choquet Integrals , Consequentialism and Dynamic Consistency," ICER Working Papers - Applied Mathematics Series 04-2008, ICER - International Centre for Economic Research.
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"Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty,"
Theory and Decision,
Springer, vol. 69(1), pages 27-53, July.
- Robert Kast & André Lapied, 2008. "Valuing future cash flows with non separable discount factors and non additive subjective measures: Conditional Choquet Capacities on Time and on Uncertainty," Working Papers 08-09, LAMETA, Universtiy of Montpellier, revised Jun 2008.
- Gilboa Itzhak & Schmeidler David, 1993. "Updating Ambiguous Beliefs," Journal of Economic Theory, Elsevier, vol. 59(1), pages 33-49, February.
- Epstein, Larry G. & Schneider, Martin, 2003. "Recursive multiple-priors," Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
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- De Waegenaere, Anja & Kast, Robert & Lapied, Andre, 2003. "Choquet pricing and equilibrium," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 359-370, July.
- Riedel, Frank, 2004. "Dynamic coherent risk measures," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 185-200, August.
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- Schmeidler, David, 1989.
"Subjective Probability and Expected Utility without Additivity,"
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- Kast, R. & Lapied, A., 1997. "A Decision Theoretic Approach to Bid-Ask Spreads," G.R.E.Q.A.M. 97a17, Universite Aix-Marseille III.
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- Kast, Robert & Lapied, André & Roubaud, David, 2014.
"Modelling under ambiguity with dynamically consistent Choquet random walks and Choquet–Brownian motions,"
Elsevier, vol. 38(C), pages 495-503.
- Robert Kast & André Lapied & David Roubaud, 2014. "Modelling under ambiguity with dynamically consistent Choquet random walks and Choquet'Brownian motions," Post-Print hal-01474262, HAL.
- Agliardi, Elettra & Agliardi, Rossella & Spanjers, Willem, 2016. "Corporate financing decisions under ambiguity: Pecking order and liquidity policy implications," Journal of Business Research, Elsevier, vol. 69(12), pages 6012-6020.
- E. Agliardi & R. Agliardi & W. Spanjers, 2014. "Cash holdings and financing decisions under ambiguity," Working Papers wp979, Dipartimento Scienze Economiche, Universita' di Bologna.
- repec:kap:theord:v:83:y:2017:i:4:d:10.1007_s11238-017-9632-x is not listed on IDEAS
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