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Citations for "Recursive multiple-priors"

by Epstein, Larry G. & Schneider, Martin

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  1. Roorda, Berend & Schumacher, J.M., 2007. "Time consistency conditions for acceptability measures, with an application to Tail Value at Risk," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 209-230, March.
  2. Ulrich, Maxim, 2013. "Inflation ambiguity and the term structure of U.S. Government bonds," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 295-309.
  3. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), pages -, April.
  4. Epstein, Larry G. & Miao, Jianjun, 2003. "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1253-1288, May.
  5. Hui Chen & Nengjiu Ju & Jianjun Miao, "undated". "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - Working Papers Series wp2009-015, Boston University - Department of Economics.
  6. Athanassoglou, Stergios & Xepapadeas, Anastasios, 2012. "Pollution control with uncertain stock dynamics: When, and how, to be precautious," Journal of Environmental Economics and Management, Elsevier, vol. 63(3), pages 304-320.
  7. Sujoy Mukerji & Jean-Marc Tallon, 2004. "An overview of economic applications of David Schmeidler's models of decision making under uncertainty," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00502534, HAL.
  8. Hennlock, Magnus, 2009. "Robust Control in Global Warming Management: An Analytical Dynamic Integrated Assessment," Discussion Papers dp-09-19, Resources For the Future.
  9. Massimo Guidolin & Francesca Rinaldi, 2010. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Working Papers 2010-028, Federal Reserve Bank of St. Louis.
  10. Larry G. Epstein & Martin Schneider, 2008. "Ambiguity, Information Quality, and Asset Pricing," Journal of Finance, American Finance Association, vol. 63(1), pages 197-228, 02.
  11. Ravi Bansal & Hengjie Ai, 2016. "Macro Announcement Premium and Risk Preferences," 2016 Meeting Papers 715, Society for Economic Dynamics.
  12. Larry G. Epstein & Igor Kopylov, 2007. "An axiomatic model of 'cold feet'," RCER Working Papers 533, University of Rochester - Center for Economic Research (RCER).
  13. Claudio Michelacci & Luigi Paciello, 2017. "Ambiguous Policy Announcements," EIEF Working Papers Series 1701, Einaudi Institute for Economics and Finance (EIEF), revised Jan 2017.
  14. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous volatility and asset pricing in continuous time," Papers 1301.4614, arXiv.org.
  15. Heyen, Daniel, 2014. "Learning under Ambiguity - A Note on the Belief Dynamics of Epstein and Schneider (2007)," Working Papers 0573, University of Heidelberg, Department of Economics.
  16. Dominiak, Adam & Dürsch, Peter & Lefort, Jean-Philippe, 2009. "A Dynamic Ellsberg Urn Experiment," Working Papers 0487, University of Heidelberg, Department of Economics.
  17. Igor Kopylov, 2016. "Subjective probability, confidence, and Bayesian updating," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(4), pages 635-658, October.
  18. Alonso, Irasema & Prado, Mauricio, 2015. "Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 78-92.
  19. Pamela Giustinelli & Nicola Pavoni, 2017. "Online Appendix to "The Evolution of Awareness and Belief Ambiguity in the Process of High School Track Choice"," Technical Appendices 16-101, Review of Economic Dynamics.
  20. Ludwig, Alexander & Zimper, Alexander, 2004. "Investment behavior under ambiguity : the case of pessimistic decision makers," Papers 04-31, Sonderforschungsbreich 504.
  21. Uppal, Raman & Wang, Tan, 2002. "Model Misspecification and Under-Diversification," CEPR Discussion Papers 3304, C.E.P.R. Discussion Papers.
  22. Lin, Qian & Riedel, Frank, 2014. "Optimal consumption and portfolio choice with ambiguity," Center for Mathematical Economics Working Papers 497, Center for Mathematical Economics, Bielefeld University.
  23. Jianjun Miao, 2004. "A Note on Consumption and Savings under Knightian Uncertainty," Annals of Economics and Finance, Society for AEF, vol. 5(2), pages 299-311, November.
  24. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," NBER Working Papers 10597, National Bureau of Economic Research, Inc.
  25. Perea,Andrés, 2005. "A Model of Minimal Probabilistic Belief Revision," Research Memorandum 034, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  26. Gadi Barlevy, 2010. "Robustness and macroeconomic policy," Working Paper Series WP-2010-04, Federal Reserve Bank of Chicago.
  27. Jianjun Miao & Dirk Hackbarth, 2011. "The dynamics of mergers and acquisitions in oligopolistic industries," Boston University - Department of Economics - Working Papers Series WP2011-029, Boston University - Department of Economics.
  28. Jürgen Eichberger & Simon Grant & David Kelsey, 2016. "Randomization and dynamic consistency," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(3), pages 547-566, August.
  29. Carole Bernard & Shaolin Ji & Weidong Tian, 2013. "An optimal insurance design problem under Knightian uncertainty," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(2), pages 99-124, November.
  30. Marie-Louise Vierø, 2009. "Exactly what happens after the Anscombe–Aumann race?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 41(2), pages 175-212, November.
  31. Cosmin Ilut & Matthias Kehrig & Martin Schneider, 2015. "Slow to Hire, Quick to Fire: Employment Dynamics with Asymmetric Responses to News," Working Papers 15-02, Center for Economic Studies, U.S. Census Bureau.
  32. Larry G. Epstein, 2006. "An Axiomatic Model of Non-Bayesian Updating," Review of Economic Studies, Oxford University Press, vol. 73(2), pages 413-436.
  33. Larry G. Epstein & Martin Schneider, 2007. "Learning Under Ambiguity," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1275-1303.
  34. Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," Working Papers 2014-06, Becker Friedman Institute for Research In Economics.
  35. Garlappi, Lorenzo & Uppal, Raman & Wang, Tan, 2005. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers 5041, C.E.P.R. Discussion Papers.
  36. Zhijun Zhao, 2011. "Preference Relativity, Ambiguity and Social Welfare Evaluation," Working Papers 352011, Hong Kong Institute for Monetary Research.
  37. Alexander Zimper & Alexander Ludwig, 2009. "On attitude polarization under Bayesian learning with non-additive beliefs," Journal of Risk and Uncertainty, Springer, vol. 39(2), pages 181-212, October.
  38. Lars P. Hansen & Thomas J. Sargent, 2016. "Sets of Models and Prices of Uncertainty," NBER Working Papers 22000, National Bureau of Economic Research, Inc.
  39. Christophe Courbage & Béatrice Rey, 2015. "On ambiguity apportionment," Working Papers 1527, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure.
  40. Eduardo Corso, 2015. "Ambiguity and portfolio decisions," BCRA Working Paper Series 201567, Central Bank of Argentina, Economic Research Department.
  41. Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk is the Worst-Case Scenario," NBER Working Papers 22416, National Bureau of Economic Research, Inc.
  42. Hansen, Lars Peter & Mayer, Ricardo & Sargent, Thomas, 2010. "Robust hidden Markov LQG problems," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 1951-1966, October.
  43. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2006. "Recursive Smooth Ambiguity Preferences," Carlo Alberto Notebooks 17, Collegio Carlo Alberto, revised 2008.
  44. Marciano Siniscalchi, 2001. "Bayesian Updating for General Maxmin Expected Utility Preferences," Discussion Papers 1366, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  45. Besanko, David & Tong, Jian & Wu, Jianjun, 2016. "Dynamic game under ambiguity: the sequential bargaining example, and a new "coase conjecture"," Discussion Paper Series In Economics And Econometrics 1606, Economics Division, School of Social Sciences, University of Southampton.
  46. Andrés Perea, 2009. "A Model of Minimal Probabilistic Belief Revision," Theory and Decision, Springer, vol. 67(2), pages 163-222, August.
  47. Itzhak Gilboa & Andrew Postlewaite & David Schmeidler, 2004. "Rationality of Belief," Levine's Bibliography 122247000000000690, UCLA Department of Economics.
  48. Martins-da-Rocha, Victor Filipe, 2009. "Interim efficiency with MEU-preferences," Economics Working Papers (Ensaios Economicos da EPGE) 696, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  49. Zimper, Alexander, 2012. "Asset pricing in a Lucas fruit-tree economy with the best and worst in mind," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 610-628.
  50. Chambers, Robert G. & Melkonyan, Tigran, 2009. "Smoothing preference kinks with information," Mathematical Social Sciences, Elsevier, vol. 58(2), pages 173-189, September.
  51. Eddie Dekel & Barton L. Lipman, 2009. "How (Not) to Do Decision Theory," Levine's Working Paper Archive 814577000000000339, David K. Levine.
  52. Larry Epstein & Shaolin Ji, 2011. "Ambiguous Volatility, Possibility and Utility in Continuous Time," Papers 1103.1652, arXiv.org, revised Jan 2013.
  53. 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.
  54. Michèle Cohen & Johanna Etner & Meglena Jeleva, 2008. "Dynamic Decision Making when Risk Perception Depends on Past Experience," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00211942, HAL.
  55. Robert Kast, 2011. "Managing financial risks due to natural catastrophes," Working Papers hal-00610241, HAL.
  56. Edi Karni & Marie-Louise Vierø, 2015. "Probabilistic sophistication and reverse Bayesianism," Journal of Risk and Uncertainty, Springer, vol. 50(3), pages 189-208, June.
  57. Nina Boyarchenko, 2009. "Ambiguity, Information Quality and Credit Risk," 2009 Meeting Papers 1028, Society for Economic Dynamics.
  58. Monika Bier & Daniel Engelage, 2010. "Merging of Opinions under Uncertainty," Bonn Econ Discussion Papers bgse11_2010, University of Bonn, Germany.
  59. Strzalecki, Tomasz & Werner, Jan, 2011. "Efficient Allocations under Ambiguity," Scholarly Articles 11352637, Harvard University Department of Economics.
  60. Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," LSE Research Online Documents on Economics 50118, London School of Economics and Political Science, LSE Library.
  61. André Lapied & Pascal Toquebeuf, 2011. "A note on "Re-examining the law of iterated expectations for Choquet decision makers"," Working Papers halshs-00856184, HAL.
  62. Ricardo Caballero & Arvind Krishnamurthy, 2005. "Financial System Risk and Flight to Quality," NBER Working Papers 11834, National Bureau of Economic Research, Inc.
  63. Sass, Linda, 2014. "Kuhn's Theorem for Extensive Form Ellsberg Games," Center for Mathematical Economics Working Papers 478, Center for Mathematical Economics, Bielefeld University.
  64. Subir Bose & Suresh Mutuswami, 2012. "Bilateral Bargaining in an Ambiguous Environment," Discussion Papers in Economics 12/10, Department of Economics, University of Leicester.
  65. Jianjun Miao, 2004. "Risk, uncertainty and option exercise," Finance 0410013, EconWPA.
  66. Katsutoshi Wakai, 2013. "Intertemporal utility smoothing under uncertainty," Theory and Decision, Springer, vol. 74(2), pages 285-310, February.
  67. Gaurab Aryal & Ronald Stauber, 2014. "A Note on Kuhn's Theorem with Ambiguity Averse Players," Papers 1408.1022, arXiv.org, revised Aug 2014.
  68. Takashi Hayashi, 2008. "Context dependence and consistency in dynamic choice under uncertainty: the case of anticipated regret," KIER Working Papers 659, Kyoto University, Institute of Economic Research.
  69. Eichberger, Jürgen & Grant, Simon & Lefort, Jean-Philippe, 2008. "Neo-additive capacities and updating," Sonderforschungsbereich 504 Publications 08-31, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  70. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2009. "Ambiguity Aversion and the Term Structure of Interest Rates," Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4157-4188, October.
  71. Epstein, Larry G. & Marinacci, Massimo, 2007. "Mutual absolute continuity of multiple priors," Journal of Economic Theory, Elsevier, vol. 137(1), pages 716-720, November.
  72. Bade, Sophie, 2015. "Randomization devices and the elicitation of ambiguity-averse preferences," Journal of Economic Theory, Elsevier, vol. 159(PA), pages 221-235.
  73. Bose, Subir & Daripa, Arup, 2009. "A dynamic mechanism and surplus extraction under ambiguity," Journal of Economic Theory, Elsevier, vol. 144(5), pages 2084-2114, September.
  74. Alonso, Irasema & Prado, Jr., Jose Mauricio, 2007. "Ambiguity Aversion, the Equity Premium and the Welfare Costs of Business Cycles," Seminar Papers 752, Stockholm University, Institute for International Economic Studies.
  75. Takashi Hayashi, 2011. "Context dependence and consistency in dynamic choice under uncertainty: the case of anticipated regret," Theory and Decision, Springer, vol. 70(4), pages 399-430, April.
  76. Luis H. R. Alvarez, 2007. "Knightian Uncertainty, k-Ignorance, and Optimal Timing," Discussion Papers 25, Aboa Centre for Economics.
  77. Kajii, Atsushi & Ui, Takashi, 2009. "Interim efficient allocations under uncertainty," Journal of Economic Theory, Elsevier, vol. 144(1), pages 337-353, January.
  78. Massimo Marinacci, 2002. "Learning from ambiguous urns," Statistical Papers, Springer, vol. 43(1), pages 143-151, January.
  79. Michelacci, Claudio & Paciello, Luigi, 2017. "Ambiguous Policy Announcements," CEPR Discussion Papers 11754, C.E.P.R. Discussion Papers.
  80. Markus Leippold & Fabio Trojani & Paolo Vanini, 2008. "Learning and Asset Prices Under Ambiguous Information," Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2565-2597, November.
  81. Felipe Zurita, 2004. "Beyond Earthquakes: The New Directions of Expected Utility Theory," Documentos de Trabajo 260, Instituto de Economia. Pontificia Universidad Católica de Chile..
  82. Almlund, Mathilde & Duckworth, Angela Lee & Heckman, James J. & Kautz, Tim, 2011. "Personality Psychology and Economics," IZA Discussion Papers 5500, Institute for the Study of Labor (IZA).
  83. Wakai, Katsutoshi, 2011. "Modeling nonmonotone preferences: The case of utility smoothing," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 213-226, March.
  84. Ludwig, Alexander & Zimper, Alexander, 2014. "Biased Bayesian learning with an application to the risk-free rate puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 79-97.
  85. Patrick Cheridito & Freddy Delbaen & Michael Kupper, 2004. "Dynamic monetary risk measures for bounded discrete-time processes," Papers math/0410453, arXiv.org.
  86. Hansen, Lars Peter & Sargent, Thomas J., 2005. "Robust estimation and control under commitment," Journal of Economic Theory, Elsevier, vol. 124(2), pages 258-301, October.
  87. Wakai, Katsutoshi, 2012. "An infinite-horizon model of nonmonotone utility smoothing," Economics Letters, Elsevier, vol. 116(2), pages 170-173.
  88. Othón M. Moreno, 2014. "Consumption of Durable Goods under Ambiguity," Working Papers 2014-02, Banco de México.
  89. Christian Flor & Linda Larsen, 2014. "Robust portfolio choice with stochastic interest rates," Annals of Finance, Springer, vol. 10(2), pages 243-265, May.
  90. Joseph Y. Halpern & Samantha Leung, 2016. "Minimizing regret in dynamic decision problems," Theory and Decision, Springer, vol. 81(1), pages 123-151, June.
  91. Jean-Philippe Lefort, 2006. "Comparison of experts in the non-additive case," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00130451, HAL.
  92. Takao Asano, 2010. "Portfolio Inertia and Epsilon-Contaminations," Theory and Decision, Springer, vol. 68(3), pages 341-365, March.
  93. repec:spr:compst:v:77:y:2013:i:2:p:207-226 is not listed on IDEAS
  94. 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.
  95. Ozdenoren, Emre & Peck, James, 2008. "Ambiguity aversion, games against nature, and dynamic consistency," Games and Economic Behavior, Elsevier, vol. 62(1), pages 106-115, January.
  96. repec:hal:journl:halshs-00130451 is not listed on IDEAS
  97. Kast, Robert & Lapied, André & Roubaud, David, 2014. "Modelling under ambiguity with dynamically consistent Choquet random walks and Choquet–Brownian motions," Economic Modelling, Elsevier, vol. 38(C), pages 495-503.
  98. Siniscalchi, Marciano, 2011. "Dynamic choice under ambiguity," Theoretical Economics, Econometric Society, vol. 6(3), September.
  99. Roee Teper, 2016. "Who is a Bayesian?," Working Paper 5861, Department of Economics, University of Pittsburgh.
  100. Christophe Courbage & Béatrice Rey-Fournier, 2015. "On ambiguity apportionment," Working Papers halshs-01223230, HAL.
  101. Nishimura, Kiyohiko G. & Ozaki, Hiroyuki, 2004. "Search and Knightian uncertainty," Journal of Economic Theory, Elsevier, vol. 119(2), pages 299-333, December.
  102. Jeong, Daehee & Kim, Hwagyun & Park, Joon Y., 2015. "Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility," Journal of Financial Economics, Elsevier, vol. 115(2), pages 361-382.
  103. Li, Jian & Zhou, Junjie, 2016. "Blackwell's informativeness ranking with uncertainty-averse preferences," Games and Economic Behavior, Elsevier, vol. 96(C), pages 18-29.
  104. Larry Epstein & Massimo Marinacci, 2005. "Coarse Contingencies," RCER Working Papers 515, University of Rochester - Center for Economic Research (RCER).
  105. J. Ford & D. Kelsey & W. Pang, 2013. "Information and ambiguity: herd and contrarian behaviour in financial markets," Theory and Decision, Springer, vol. 75(1), pages 1-15, July.
  106. S\"oren Christensen, 2011. "Optimal decision under ambiguity for diffusion processes," Papers 1110.3897, arXiv.org, revised Oct 2012.
  107. Jürgen Eichberger & Simon Grant & David Kelsey, 2012. "When is Ambiguity-Attitude Constant?," CESifo Working Paper Series 3768, CESifo Group Munich.
  108. Guo, Liang, 2013. "Determinants of credit spreads: The role of ambiguity and information uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 279-297.
  109. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Dynamic Variational Preferences," Carlo Alberto Notebooks 1, Collegio Carlo Alberto.
  110. Chudjakow, Tatjana & Riedel, Frank, 2010. "The Best Choice Problem under Ambiguity," Center for Mathematical Economics Working Papers 413, Center for Mathematical Economics, Bielefeld University.
  111. Beißner, Patrick, 2016. "Radner Equilibria under Ambiguous Volatility," Center for Mathematical Economics Working Papers 493, Center for Mathematical Economics, Bielefeld University.
  112. Alexander Zimper, 2011. "Do Bayesians learn their way out of ambiguity?," Working Papers 240, Economic Research Southern Africa.
  113. Sören Christensen, 2013. "Optimal decision under ambiguity for diffusion processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 77(2), pages 207-226, April.
  114. Andre Lapied & Pascal Toquebeuf, 2012. "Dynamically consistent CEU preferences," TEPP Working Paper 2012-10, TEPP.
  115. Mukerji, Sujoy, 2009. "Foundations Of Ambiguity And Economic Modelling," Economics and Philosophy, Cambridge University Press, vol. 25(03), pages 297-302, November.
  116. Ganguli, Jayant & Condie, Scott & Illeditsch, Philipp Karl, 2012. "Information Inertia," Economics Discussion Papers 5628, University of Essex, Department of Economics.
  117. Riella, Gil, 2013. "Preference for Flexibility and Dynamic Consistency," Journal of Economic Theory, Elsevier, vol. 148(6), pages 2467-2482.
  118. Dirk Becherer & Klebert Kentia, 2016. "Hedging under generalized good-deal bounds and model uncertainty," Papers 1607.04488, arXiv.org.
  119. Kami, Edi & Maccheroni, Fabio & Marinacci, Massimo, 2015. "Ambiguity and Nonexpected Utility," Handbook of Game Theory with Economic Applications, in: Handbook of Game Theory with Economic Applications, volume 4, chapter 17, pages 901-947 Elsevier.
  120. Melkonyan, Tigran A., 2011. "The Effect of Communicating Ambiguous Risk Information on Choice," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 36(2), August.
  121. Cerreia-Vioglio, S. & Maccheroni, F. & Marinacci, M. & Montrucchio, L., 2011. "Uncertainty averse preferences," Journal of Economic Theory, Elsevier, vol. 146(4), pages 1275-1330, July.
  122. Ron Bird & Krishna Reddy & Danny Yeung, 2014. "The relationship between uncertainty and the market reaction to information: Is it influenced by stock-specific characteristics?," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 4(2), pages 113-132.
  123. Thimme, Julian & Völkert, Clemens, 2015. "High order smooth ambiguity preferences and asset prices," Review of Financial Economics, Elsevier, vol. 27(C), pages 1-15.
  124. Ricardo J. Caballero & Arvind Krishnamurthy, 2006. "Flight to Quality and Collective Risk Management," NBER Working Papers 12136, National Bureau of Economic Research, Inc.
  125. Daniel, Engelage, 2011. "Optimal stopping with dynamic variational preferences," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2042-2074, September.
  126. Larry G. Epstein & Kyoungwon Seo, 2013. "De Finetti Meets Ellsberg," CIRANO Working Papers 2013s-35, CIRANO.
  127. Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci, 2002. "Ambiguity from the Differential Viewpoint," ICER Working Papers - Applied Mathematics Series 17-2002, ICER - International Centre for Economic Research.
  128. Takao Asano, 2004. "Portfolio Inertia and [Epsilon]-Contaminations," ISER Discussion Paper 0610, Institute of Social and Economic Research, Osaka University.
  129. Hansen, Lars Peter & Sargent, Thomas J., 2005. "Recursive robust estimation and control without commitment," Discussion Paper Series 1: Economic Studies 2005,28, Deutsche Bundesbank, Research Centre.
  130. Gonçalo Faria & João Correia-da-Silva, 2011. "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers 414, Universidade do Porto, Faculdade de Economia do Porto.
  131. Nengjiu Ju & Jianjun Miao, 2010. "Ambiguity, Learning, and Asset Returns," CEMA Working Papers 438, China Economics and Management Academy, Central University of Finance and Economics.
  132. Werner, Jan, 2011. "Risk aversion for variational and multiple-prior preferences," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 382-390.
  133. André Lapied & Robert Kast, 2010. "Dynamically consistent Choquet random walk and real investments," Working Papers 10-21, LAMETA, Universtiy of Montpellier, revised 2010.
  134. Alexander Ludwig & Alexander Zimper, 2012. "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Working Papers 201223, University of Pretoria, Department of Economics.
  135. Hayashi, Takashi, 2009. "Stopping with anticipated regret," Journal of Mathematical Economics, Elsevier, vol. 45(7-8), pages 479-490, July.
  136. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
  137. repec:esx:essedp:719 is not listed on IDEAS
  138. Jianjun Miao, 2009. "Ambiguity, Risk and Portfolio Choice under Incomplete Information," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 257-279, November.
  139. Yehuda Izhakian & Zur Izhakian, 2015. "Decision making in phantom spaces," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 58(1), pages 59-98, January.
  140. Marie-Louise Vierø, 2006. "Exactly What Happens After the Anscombe-Aumann Race? Representing Preferences in Vague Environments," Working Papers 1094, Queen's University, Department of Economics.
  141. repec:ipg:wpaper:16 is not listed on IDEAS
  142. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
  143. Guido, Cataife, 2007. "The pronouncements of paranoid politicians," MPRA Paper 4473, University Library of Munich, Germany.
  144. Dana, Rose-Anne & Riedel, Frank, 2013. "Intertemporal equilibria with Knightian uncertainty," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1582-1605.
  145. Xiaoxian Ma & Qingzhen Zhao & Jilin Qu, 2008. "Robust portfolio optimization with a generalized expected utility model under ambiguity," Annals of Finance, Springer, vol. 4(4), pages 431-444, October.
  146. Kartik B. Athreya & Xuan S. Tam & Eric R. Young, 2009. "Are harsh penalties for default really better?," Working Paper 09-11, Federal Reserve Bank of Richmond.
  147. Riedel, Frank, 2004. "Dynamic coherent risk measures," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 185-200, August.
  148. Anna Gumena & Andrei Savochkin, 2012. "Dynamically Stable Preferences," Carlo Alberto Notebooks 263, Collegio Carlo Alberto.
  149. Riedel, Frank, 2010. "Optimal Stopping under Ambiguity," Center for Mathematical Economics Working Papers 390, Center for Mathematical Economics, Bielefeld University.
  150. Beber, Alessandro & Breedon, Francis & Buraschi, Andrea, 2010. "Differences in beliefs and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 98(3), pages 415-438, December.
  151. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," NBER Working Papers 16181, National Bureau of Economic Research, Inc.
  152. Bird, Ron & Yeung, Danny, 2012. "How do investors react under uncertainty?," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 310-327.
  153. Raghu Suryanarayanan, 2006. "A Model of Anticipated Regret and Endogenous Beliefs," CSEF Working Papers 161, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 01 Dec 2008.
  154. Christophe Courbage & Beatrice Rey, 2016. "On ambiguity apportionment," Journal of Economics, Springer, vol. 118(3), pages 265-275, July.
  155. Paul Viefers & Philipp Strack, 2014. "Too Proud to Stop: Regret in Dynamic Decisions," Discussion Papers of DIW Berlin 1401, DIW Berlin, German Institute for Economic Research.
  156. Große Steffen, Christoph, 2015. "Uncertainty shocks and non-fundamental debt crises: An ambiguity approach," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112936, Verein für Socialpolitik / German Economic Association.
  157. repec:ipg:wpaper:2013-016 is not listed on IDEAS
  158. Jianjun Miao, 2003. "Consumption and Saving under Knightian Uncertainty," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-134, Boston University - Department of Economics.
  159. Hernández-Hernández Daniel & Schied Alexander, 2006. "Robust utility maximization in a stochastic factor model," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-17, July.
  160. Aaron Tornell, 2003. "Exchange Rate Anomalies Under Model Misspecification: A Mixed Optimal/Robust Approach (January 2003)," UCLA Economics Online Papers 266, UCLA Department of Economics.
  161. Heyen, Daniel & Wiesenfarth, Boris R., 2014. "Informativeness of Experiments for MEU - A Recursive Definition," Working Papers 0572, University of Heidelberg, Department of Economics.
  162. Park, Yang-Ho, 2015. "Volatility-of-volatility and tail risk hedging returns," Journal of Financial Markets, Elsevier, vol. 26(C), pages 38-63.
  163. Raghu Suryanarayanan, 2006. "Implications of Anticipated Regret and Endogenous Beliefs for Equilibrium Asset Prices: A Theoretical Framework," CSEF Working Papers 162, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  164. Giordani, Paolo & Soderlind, Paul, 2004. "Solution of macromodels with Hansen-Sargent robust policies: some extensions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2367-2397, December.
  165. Ricardo J. Caballero & Arvind Krishnamurthy, 2008. "Collective Risk Management in a Flight to Quality Episode," Journal of Finance, American Finance Association, vol. 63(5), pages 2195-2230, October.
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  167. Cheridito, Patrick & Stadje, Mitja, 2009. "Time-inconsistency of VaR and time-consistent alternatives," Finance Research Letters, Elsevier, vol. 6(1), pages 40-46, March.
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  169. Sbuelz, Alessandro & Trojani, Fabio, 2008. "Asset prices with locally constrained-entropy recursive multiple-priors utility," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3695-3717, November.
  170. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
  171. 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.
  172. Jang, Bong-Gyu & Lee, Seungkyu & Lim, Byung Hwa, 2016. "Robust consumption and portfolio rules with time-varying model confidence," Finance Research Letters, Elsevier, vol. 18(C), pages 342-352.
  173. Vorbrink, Jörg, 2014. "Financial markets with volatility uncertainty," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 64-78.
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  175. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
  176. Daniel Hernandez–Hernandez & Alexander Schied, 2005. "Robust Utility Maximization in a Stochastic Factor Model," SFB 649 Discussion Papers SFB649DP2006-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2006.
  177. Chambers, Christopher P. & Hayashi, Takashi, 2010. "Bayesian consistent belief selection," Journal of Economic Theory, Elsevier, vol. 145(1), pages 432-439, January.
  178. Marcello Basili & Stefano Dalle Mura, 2008. "Ambiguous Money Distribution And The Price Stickiness Phenomenon: A Rationale From An Ambiguous Rational Expectations Approach," Department of Economic Policy, Finance and Development (DEPFID) University of Siena 0708, Department of Economic Policy, Finance and Development (DEPFID), University of Siena.
  179. Anastasios Xepapadeas & Catarina Roseta-Palma, 2013. "Instabilities and robust control in natural resource management," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(3), pages 161-180, December.
  180. Klaus Nehring, 2006. "Is it Possible to Define Subjective Probabilities in Purely Behavioral Terms? A Comment on Epstein-Zhang (2001)," Economics Working Papers 0067, Institute for Advanced Study, School of Social Science.
  181. Grant, Simon & Meneghel, Idione & Tourky, Rabee, 2016. "Savage games," Theoretical Economics, Econometric Society, vol. 11(2), May.
  182. Paul Viefers, 2012. "Should I Stay or Should I Go?: A Laboratory Analysis of Investment Opportunities under Ambiguity," Discussion Papers of DIW Berlin 1228, DIW Berlin, German Institute for Economic Research.
  183. AMARANTE, Massimiliano, 2014. "What is ambiguity?," Cahiers de recherche 2014-01, Universite de Montreal, Departement de sciences economiques.
  184. Marcello Basili & Stefano Dalle Mura, 2004. "Ambiguity and macroeconomics:a rationale for price stickiness," Department of Economics University of Siena 428, Department of Economics, University of Siena.
  185. Kenneth Kasa, 2006. "Robustness and Information Processing," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(1), pages 1-33, January.
  186. Chaiki Hara & Atsushi Kajii, 2004. "Risk-Free Bond Prices in Incomplete Markets with Recursive Utility Functions and Multiple Beliefs," KIER Working Papers 590, Kyoto University, Institute of Economic Research.
  187. Lapied, André & Toquebeuf, Pascal, 2012. "Dynamically consistent CEU preferences on f-convex events," Mathematical Social Sciences, Elsevier, vol. 63(3), pages 252-256.
  188. Isaac Kleshchelski & Nicolas Vincent, 2009. "Robust Equilibrium Yield Curves," Cahiers de recherche 0907, CIRPEE.
  189. Gaurab Aryal & Ronald Stauber, 2013. "Trembles in Extensive Games with Ambiguity Averse Players," ANU Working Papers in Economics and Econometrics 2013-606, Australian National University, College of Business and Economics, School of Economics.
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  191. Itzhak Gilboa & Andrew Postlewaite & David Schmeidler, 2004. "Rationality of Belief Or Why Bayesianism is neither necessary nor sufficient for rationality," PIER Working Paper Archive 04-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  192. Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
  193. Alexander Schied, 2005. "Optimal Investments for Risk- and Ambiguity-Averse Preferences: A Duality Approach," SFB 649 Discussion Papers SFB649DP2005-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2006.
  194. Stergios Athanassoglou & Anastasios Xepapadeas, "undated". "Pollution control: when, and how, to be precautious," DEOS Working Papers 1112, Athens University of Economics and Business.
  195. Eichberger, Jurgen & Grant, Simon & Kelsey, David, 2007. "Updating Choquet beliefs," Journal of Mathematical Economics, Elsevier, vol. 43(7-8), pages 888-899, September.
  196. Wakai, Katsutoshi, 2007. "A note on recursive multiple-priors," Journal of Economic Theory, Elsevier, vol. 135(1), pages 567-571, July.
  197. Luo, Xiao & Ma, Chenghu, 2003. ""Agreeing to disagree" type results: a decision-theoretic approach," Journal of Mathematical Economics, Elsevier, vol. 39(8), pages 849-861, November.
  198. Gadi Barlevy, 2009. "Policymaking under uncertainty: Gradualism and robustness," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q II, pages 38-55.
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  200. Jianjun Miao & Alejandro Rivera, 2013. "Robust Contracts in Continuous Time," Boston University - Department of Economics - Working Papers Series 2013-009, Boston University - Department of Economics.
  201. Lahno, Amrei M., 2014. "Social anchor effects in decision-making under ambiguity," Discussion Papers in Economics 20960, University of Munich, Department of Economics.
  202. Gonçalo Faria & João Correia-da-Silva, 2012. "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices," Annals of Finance, Springer, vol. 8(4), pages 507-531, November.
  203. Philipp Karl ILLEDITSCH, 2009. "Ambiguous Information, Risk Aversion, and Asset Pricing," 2009 Meeting Papers 802, Society for Economic Dynamics.
  204. Muraviev, Igor & Riedel, Frank & Sass, Linda, 2017. "Kuhn’s Theorem for extensive form Ellsberg games," Journal of Mathematical Economics, Elsevier, vol. 68(C), pages 26-41.
  205. ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX Christian, 2003. "Aversion Analysis," Cahiers de recherche 2003-06, Universite de Montreal, Departement de sciences economiques.
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  207. Jang, Bong-Gyu & Park, Seyoung, 2016. "Ambiguity and optimal portfolio choice with Value-at-Risk constraint," Finance Research Letters, Elsevier, vol. 18(C), pages 158-176.
  208. Patrick Cheridito & Freddy Delbaen & Michael Kupper, 2006. "Coherent and convex monetary risk measures for unbounded càdlàg processes," Finance and Stochastics, Springer, vol. 10(3), pages 427-448, September.
  209. 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.
  210. Pritsker, Matthew, 2013. "Knightian uncertainty and interbank lending," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 85-105.
  211. Itzhak Gilboa & Andrew Postlewaite & David Schmeidler, 2004. "Rationality of Belief Or: Why Savage's axioms are neither necessary nor sufficient for rationality, Second Version," PIER Working Paper Archive 08-043, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 03 Dec 2008.
  212. Ellis, Andrew, 2016. "Condorcet meets Ellsberg," Theoretical Economics, Econometric Society, vol. 11(3), September.
  213. Heyen, Daniel & Wiesenfarth, Boris R., 2015. "Informativeness of experiments for MEU—A recursive definition," Journal of Mathematical Economics, Elsevier, vol. 57(C), pages 28-30.
  214. Dorian Beauchêne, 2016. "Solution concepts for games with ambiguous payoffs," Theory and Decision, Springer, vol. 80(2), pages 245-269, February.
  215. Claudio Campanale, 2009. "Learning, Ambiguity and Life-Cycle Portfolio Allocation," 2009 Meeting Papers 38, Society for Economic Dynamics.
  216. Cheridito, Patrick & Delbaen, Freddy & Kupper, Michael, 2004. "Coherent and convex monetary risk measures for bounded càdlàg processes," Stochastic Processes and their Applications, Elsevier, vol. 112(1), pages 1-22, July.
  217. Qiu, Jianying & Weitzel, Utz, 2013. "Experimental Evidence on Valuation and Learning with Multiple Priors," MPRA Paper 43974, University Library of Munich, Germany.
  218. Stadje, Mitja, 2010. "Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 391-404, December.
  219. Weber, Stefan, 2003. "Distribution-Invariant Dynamic Risk Measures," SFB 373 Discussion Papers 2003,53, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  220. Faro, José Heleno & Lefort, Jean Philippe, 2013. "Dynamic Objective and Subjective Rationality," Insper Working Papers wpe_312, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  221. Hua Chen & Michael Sherris & Tao Sun & Wenge Zhu, 2013. "Living With Ambiguity: Pricing Mortality-Linked Securities With Smooth Ambiguity Preferences," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 705-732, 09.
  222. Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," Finance and Stochastics, Springer, vol. 16(4), pages 669-709, October.
  223. Grant, Simon & Meneghel, Idione & Tourky, Rabee, 2013. "Savage Games: A Theory of Strategic Interaction with Purely Subjective Uncertainty," Risk and Sustainable Management Group Working Papers 151501, University of Queensland, School of Economics.
  224. Heyen, Daniel & Goeschl, Timo & Wiesenfarth , Boris, 2015. "Risk Assessment under Ambiguity: Precautionary Learning vs. Research Pessimism," Working Papers 0605, University of Heidelberg, Department of Economics.
  225. Vittoria M. Levati & Matthias Uhl & Ro'i Zultan, 2010. "Imperfect Recall and Time Inconsistencies: An experimental test of the absentminded driver "paradox"," Jena Economic Research Papers 2010-035, Friedrich-Schiller-University Jena.
  226. Demian Pouzo & Ignacio Presno, 2016. "Sovereign Default Risk and Uncertainty Premia," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(3), pages 230-266, July.
  227. Élise PAYZAN LE NESTOUR, 2010. "Bayesian Learning in UnstableSettings: Experimental Evidence Based on the Bandit Problem," Swiss Finance Institute Research Paper Series 10-28, Swiss Finance Institute.
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