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Citations for "Learning Under Ambiguity"

by Larry G. Epstein & Martin Schneider

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  1. repec:eee:jeborg:v:136:y:2017:i:c:p:1-14 is not listed on IDEAS
  2. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 16, November.
  3. Eichberger, Jurgen & Guerdjikova, Ani, 2007. "Multiple Priors as Similarity Weighted Frequencies," Working Papers 07-03, Cornell University, Center for Analytic Economics.
  4. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, 03.
  5. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 315-346, December.
  6. Epstein Larry G & Seo Kyoungwon, 2011. "Symmetry or Dynamic Consistency?," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 11(1), pages 1-14, June.
  7. repec:esx:essedp:770 is not listed on IDEAS
  8. Heyen, Daniel & Wiesenfarth, Boris R., 2014. "Informativeness of Experiments for MEU - A Recursive Definition," Working Papers 0572, University of Heidelberg, Department of Economics.
  9. Henry, Marc & Onatski, Alexei, 2012. "Set coverage and robust policy," Economics Letters, Elsevier, vol. 115(2), pages 256-257.
  10. Roberta De Filippis & Antonio Guarino & Philippe Jehiel & Toru Kitagawa, 2016. "Updating ambiguous beliefs in a social learning experiment," CeMMAP working papers CWP18/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  11. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
  12. Hackbarth, Dirk & Miao, Jianjun, 2012. "The dynamics of mergers and acquisitions in oligopolistic industries," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 585-609.
  13. Groneck, Max & Ludwig, Alexander & Zimper, Alexander, 2016. "A life-cycle model with ambiguous survival beliefs," Journal of Economic Theory, Elsevier, vol. 162(C), pages 137-180.
  14. Nicky Nicholls & Aylit Romm & Alexander Zimper, 2015. "The impact of statistical learning on violations of the sure-thing principle," Journal of Risk and Uncertainty, Springer, vol. 50(2), pages 97-115, April.
  15. Miao, Jianjun & Wang, Neng, 2011. "Risk, uncertainty, and option exercise," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 442-461, April.
  16. 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.
  17. repec:bos:wpaper:wp2013-001 is not listed on IDEAS
  18. Vikas Agarwal & Eser Arisoy & Narayan Y Naik, 2015. "Volatility of Aggregate Volatility and Hedge Fund Returns," Post-Print hal-01412976, HAL.
  19. Marciano Siniscalchi, 2009. "Vector Expected Utility and Attitudes Toward Variation," Econometrica, Econometric Society, vol. 77(3), pages 801-855, 05.
  20. Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor, 2016. "Robust optimal risk sharing and risk premia in expanding pools," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 182-195.
  21. Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2013. "Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach," EconomiX Working Papers 2013-28, University of Paris West - Nanterre la Defense, EconomiX.
  22. Larry G. Epstein, 2001. "Sharing Ambiguity," American Economic Review, American Economic Association, vol. 91(2), pages 45-50, May.
  23. Martin Szydlowski, 2012. "Ambiguity in Dynamic Contracts," Discussion Papers 1543, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  24. Asgharian, Hossein & Liu, Lu & Lundtofte, Frederik, 2014. "Institutional Quality, Trust and Stock-Market Participation: Learning to Forget," Working Papers 2014:39, Lund University, Department of Economics.
  25. Alexander Ludwig & Alexander Zimper, 2013. "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Annals of Finance, Springer, vol. 9(4), pages 625-665, November.
  26. Gormley, Todd & Liu, Hong & Zhou, Guofu, 2010. "Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance," Journal of Financial Economics, Elsevier, vol. 96(2), pages 331-344, May.
  27. Epstein, Larry G. & Seo, Kyoungwon, 2015. "Exchangeable capacities, parameters and incomplete theories," Journal of Economic Theory, Elsevier, vol. 157(C), pages 879-917.
  28. David K. Backus & Bryan R. Routledge & Stanley E. Zin, 2005. "Exotic Preferences for Macroeconomists," NBER Chapters,in: NBER Macroeconomics Annual 2004, Volume 19, pages 319-414 National Bureau of Economic Research, Inc.
  29. Hui Chen & Nengjiu Ju & Jianjun Miao, 2014. "Dynamic Asset Allocation with Ambiguous Return Predictability," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 799-823, October.
  30. Nicholas Barberis & Ming Huang, 2006. "The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle," NBER Working Papers 12378, National Bureau of Economic Research, Inc.
  31. Joseph Halpern & Samantha Leung, 2015. "Weighted sets of probabilities and minimax weighted expected regret: a new approach for representing uncertainty and making decisions," Theory and Decision, Springer, vol. 79(3), pages 415-450, November.
  32. Eichberger, Jürgen & Guerdjikova, Ani, 2008. "Multiple Priors as Similarity Weighted Frequencies," Papers 08-07, Sonderforschungsbreich 504.
  33. Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
  34. Roee Teper, 2016. "Who is a Bayesian?," Working Paper 5861, Department of Economics, University of Pittsburgh.
  35. 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.
  36. Lioui, Abraham & Poncet, Patrice, 2012. "On model ambiguity and money neutrality," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1020-1033.
  37. Binswanger, Johannes, 2007. "Risk management of pensions from the perspective of loss aversion," Journal of Public Economics, Elsevier, vol. 91(3-4), pages 641-667, April.
  38. Marialaura Pesce & Peter Cramton & Nicholas C. Yannelis, 2010. "A new perspective to rational expectations: maximin rational expectations equilibrium," Discussion Papers 1528, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  39. Eduardo Corso, 2015. "Ambiguity and portfolio decisions," BCRA Working Paper Series 201567, Central Bank of Argentina, Economic Research Department.
  40. 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.
  41. Othon M. Moreno & Yaroslav Rosokha, 2016. "Learning under compound risk vs. learning under ambiguity – an experiment," Journal of Risk and Uncertainty, Springer, vol. 53(2), pages 137-162, December.
  42. 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.
  43. Lorenzo Garlappi & Raman Uppal & Tan Wang, 2007. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," Review of Financial Studies, Society for Financial Studies, vol. 20(1), pages 41-81, January.
  44. 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.
  45. Daniel Heyen, 2017. "Ambiguity aversion under maximum likelihood updating," LSE Research Online Documents on Economics 80342, London School of Economics and Political Science, LSE Library.
  46. Cosmin Ilut, 2012. "Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(3), pages 33-65, July.
  47. 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.
  48. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2016. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," American Economic Review, American Economic Association, vol. 106(3), pages 664-698, March.
  49. Monika Bier & Daniel Engelage, 2010. "Merging of Opinions under Uncertainty," Bonn Econ Discussion Papers bgse11_2010, University of Bonn, Germany.
  50. Alexander Zimper, 2011. "Do Bayesians Learn Their Way Out of Ambiguity?," Decision Analysis, INFORMS, vol. 8(4), pages 269-285, December.
  51. Eichberger, Jürgen & Guerdjikova, Ani, 2013. "Ambiguity, data and preferences for information – A case-based approach," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1433-1462.
  52. Bleile, Jörg, 2016. "Cautious Belief Formation," Center for Mathematical Economics Working Papers 507, Center for Mathematical Economics, Bielefeld University.
  53. 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.
  54. Phelim Boyle & Lorenzo Garlappi & Raman Uppal & Tan Wang, 2012. "Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification," Management Science, INFORMS, vol. 58(2), pages 253-272, February.
  55. Joseph Y. Halpern & Samantha Leung, 2012. "Weighted Sets of Probabilities and MinimaxWeighted Expected Regret: New Approaches for Representing Uncertainty and Making Decisions," Papers 1210.4853, arXiv.org.
  56. 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.
  57. Konstantinos Georgalos & Enrica Carbone & Gerardo Infante, 2016. "Individual vs. Group Decision Making: an Experiment on Dynamic Choice under Risk and Ambiguity," Working Papers 138739716, Lancaster University Management School, Economics Department.
  58. 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.
  59. 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.
  60. Epstein, Larry G. & Seo, Kyoungwon, 2014. "De Finetti meets Ellsberg," Research in Economics, Elsevier, vol. 68(1), pages 11-26.
  61. Bier, Monika & Engelage, Daniel, 2011. "Merging of opinions under uncertainty," Center for Mathematical Economics Working Papers 433, Center for Mathematical Economics, Bielefeld University.
  62. Eichberger, Jürgen & Guerdjikova, Ani, 2010. "Case-based belief formation under ambiguity," Mathematical Social Sciences, Elsevier, vol. 60(3), pages 161-177, November.
  63. ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX Christian, 2003. "Aversion Analysis," Cahiers de recherche 2003-06, Universite de Montreal, Departement de sciences economiques.
    • ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX, Christian, 2003. "Aversion Analysis," Cahiers de recherche 04-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  64. Leizarowitz, Arie & Tsur, Yacov, 2012. "Renewable resource management with stochastic recharge and environmental threats," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 736-753.
  65. Ganguli, J & Condie, S & Illeditsch, PK, 2012. "Information Inertia," Economics Discussion Papers 5628, University of Essex, Department of Economics.
  66. Chambers, Robert G. & Melkonyan, Tigran, 2009. "Smoothing preference kinks with information," Mathematical Social Sciences, Elsevier, vol. 58(2), pages 173-189, September.
  67. Menachem Brenner & Yehuda Izhakian & Orly Sade, 2011. "Ambiguity and Overconfidence," Working Papers 11-06, New York University, Leonard N. Stern School of Business, Department of Economics.
  68. Dicks, David & Fulghieri, Paolo, 2015. "Ambiguity, Disagreement, and Allocation of Control in Firms," CEPR Discussion Papers 10400, C.E.P.R. Discussion Papers.
  69. Nicholas Barberis & Ming Huang & Richard H. Thaler, 2006. "Individual Preferences, Monetary Gambles, and Stock Market Participation: A Case for Narrow Framing," American Economic Review, American Economic Association, vol. 96(4), pages 1069-1090, September.
  70. 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.
  71. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
  72. 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.
  73. Alexander Zimper & Wei Ma, 2015. "Bayesian Learning with Multiple Priors and Non-Vanishing Ambiguity," Working Papers 201535, University of Pretoria, Department of Economics.
  74. 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.
  75. Scott Condie, 2008. "Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(1), pages 81-108, July.
  76. Pierpaolo Battigalli & Alejandro Francetich & Giacomo Lanzani & Massimo Marinacci, 2016. "Learning and Self-confi rming Long-Run Biases," Working Papers 588, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  77. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
  78. Lahno, Amrei M., 2014. "Social anchor effects in decision-making under ambiguity," Discussion Papers in Economics 20960, University of Munich, Department of Economics.
  79. Anderson, Alyssa G., 2015. "Ambiguity in Securitization Markets," Finance and Economics Discussion Series 2015-33, Board of Governors of the Federal Reserve System (U.S.).
  80. Pauline Barrieu & Bernard Sinclair-Desgagné, 2009. "Economic Policy when Models Disagree," CIRANO Working Papers 2009s-03, CIRANO.
  81. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
  82. 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.
  83. Larry G. Epstein & Shaolin Ji, 2017. "Optimal Learning and Ellsberg's Urns," Papers 1708.01890, arXiv.org.
  84. 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.
  85. 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.
  86. 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.
  87. 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.
  88. Li, Jian & Zhou, Junjie, 2016. "Blackwell's informativeness ranking with uncertainty-averse preferences," Games and Economic Behavior, Elsevier, vol. 96(C), pages 18-29.
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