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Temporal Resolution of Uncertainty and Recursive Models of Ambiguity Aversion

Citations

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Cited by:

  1. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean‐Marc Tallon, 2018. "Ambiguity and the historical equity premium," Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
  2. Gertsman, Gleb, 2023. "Behavioral preferences and beliefs in asset pricing," Other publications TiSEM c7196596-1bf8-47c9-a147-6, Tilburg University, School of Economics and Management.
  3. Arna Olafsson & Michaela Pagel, 2017. "The Ostrich in Us: Selective Attention to Financial Accounts, Income, Spending, and Liquidity," NBER Working Papers 23945, National Bureau of Economic Research, Inc.
  4. Lorenzo Maria Stanca, 2023. "Recursive Preferences, Correlation Aversion, and the Temporal Resolution of Uncertainty," Papers 2304.04599, arXiv.org, revised Jan 2025.
  5. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
  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. Johannes Buckenmaier & Eugen Dimant & Ann-Christin Posten & Ulrich Schmidt, 2021. "Efficient Institutions and Effective Deterrence: On Timing and Uncertainty of Formal Sanctions," Journal of Risk and Uncertainty, Springer, vol. 62(2), pages 177-201, April.
  8. Alexander L. Brown & Hwagyun Kim, 2014. "Do Individuals Have Preferences Used in Macro-Finance Models? An Experimental Investigation," Management Science, INFORMS, vol. 60(4), pages 939-958, April.
  9. Spyros Galanis, 2021. "Dynamic consistency, valuable information and subjective beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(4), pages 1467-1497, June.
  10. Sumru Altug & Cem Cakmakli & Fabrice Collard & Sujoy Mukerji & Han Ozsoylev, 2020. "Ambiguous Business Cycles: A Quantitative Assessment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 220-237, October.
  11. Michael Johannes & Lars Lochstoer & Pierre Collin-Dufresne, 2015. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," 2015 Meeting Papers 647, Society for Economic Dynamics.
  12. Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
  13. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana, 2020. "Uncertainty Shocks and Business Cycle Research," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 118-166, August.
  14. Simone Cerreia Vioglio & Fabio Maccheroni & Massimo Marinacci, 2016. "Absolute and Relative Ambiguity Aversion: A Preferential Approach," Working Papers 578, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  15. Simon Quemin, 2016. "Intertemporal abatement decisions under ambiguity aversion in a cap and trade," Working Papers 1604, Chaire Economie du climat.
  16. Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
  17. David Dillenberger & Daniel Gottlieb & Pietro Ortoleva, 2017. "Stochastic Impatience and the Separation of Time and Risk Preferences," PIER Working Paper Archive 20-026, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 05 Jul 2020.
  18. Francesco Fabbri & Giulio Principi & Lorenzo Stanca, 2024. "Absolute and Relative Ambiguity Attitudes," Papers 2406.01343, arXiv.org, revised Jun 2024.
  19. Stanca Lorenzo, 2023. "Recursive preferences, correlation aversion, and the temporal resolution of uncertainty," Working papers 080, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
  20. Russell Golman & David Hagmann & George Loewenstein, 2017. "Information Avoidance," Journal of Economic Literature, American Economic Association, vol. 55(1), pages 96-135, March.
  21. Martin Dumav, 2021. "Moral Hazard, Dynamic Incentives, and Ambiguous Perceptions," Papers 2110.15229, arXiv.org.
  22. Florian Mudekereza, 2025. "Robust Social Planning," Papers 2504.07401, arXiv.org, revised Jun 2025.
  23. Christoph Bühren & Fabian Meier & Marco Pleßner, 2023. "Ambiguity aversion: bibliometric analysis and literature review of the last 60 years," Management Review Quarterly, Springer, vol. 73(2), pages 495-525, June.
  24. , & ,, 2015. "Hidden actions and preferences for timing of resolution of uncertainty," Theoretical Economics, Econometric Society, vol. 10(2), May.
  25. Suen, Richard M. H., 2022. "Precautionary Saving Behaviour under Ambiguity," MPRA Paper 114382, University Library of Munich, Germany.
  26. Asen Kochov & Yangwei Song, 2023. "Intertemporal Hedging and Trade in Repeated Games With Recursive Utility," Econometrica, Econometric Society, vol. 91(6), pages 2333-2369, November.
  27. Buckenmaier, Johannes & Dimant, Eugen & Posten, Ann-Christin & Schmidt, Ulrich, 2017. "On punishment institutions and effective deterrence of illicit behavior," Kiel Working Papers 2090, Kiel Institute for the World Economy (IfW Kiel).
  28. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2020. "Implied Volatility Duration: A measure for the timing of uncertainty resolution," SAFE Working Paper Series 265, Leibniz Institute for Financial Research SAFE.
  29. Bergeron, Claude, 2013. "Dividend sensitivity to economic factors, stock valuation, and long-run risk," Finance Research Letters, Elsevier, vol. 10(4), pages 184-195.
  30. Li, Jian, 2020. "Preferences for partial information and ambiguity," Theoretical Economics, Econometric Society, vol. 15(3), July.
  31. Anastasios G Karantounias, 2018. "Optimal Fiscal Policy with Recursive Preferences," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(4), pages 2283-2317.
  32. A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2015. "Measuring Ambiguity Aversion," Finance and Economics Discussion Series 2015-105, Board of Governors of the Federal Reserve System (U.S.).
  33. Johnson Kakeu, 2023. "Concerns for Long-Run Risks and Natural Resource Policy," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 84(4), pages 1051-1093, April.
  34. Takao Asano & Yusuke Osaki, 2017. "Portfolio Allocation Problems between Risky Ambiguous Assets," KIER Working Papers 975, Kyoto University, Institute of Economic Research.
  35. Geoffard, Pierre-Yves & Etilé, Fabrice, 2020. "Anxiety Increases The Willingness To Be Exposed To Covid-19 Risk Among Young Adults In France," CEPR Discussion Papers 15560, C.E.P.R. Discussion Papers.
  36. Massimo Marinacci, 2015. "Model Uncertainty," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1022-1100, December.
  37. Marinacci Massimo & Principi Giulio & Stanca Lorenzo, 2023. "Recursive Preferences and Ambiguity Attitudes," Working papers 082, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
  38. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
  39. Gumen, Anna & Savochkin, Andrei, 2013. "Dynamically stable preferences," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1487-1508.
  40. M. Ali Khan & Metin Uyanık, 2021. "Topological connectedness and behavioral assumptions on preferences: a two-way relationship," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(2), pages 411-460, March.
  41. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
  42. Massimo Marinacci & Giulio Principi & Lorenzo Stanca, 2023. "Recursive Preferences and Ambiguity Attitudes," Carlo Alberto Notebooks 695 JEL Classification: C, Collegio Carlo Alberto.
  43. Meissner, Thomas & Pfeiffer, Philipp, 2022. "Measuring preferences over the temporal resolution of consumption uncertainty," Journal of Economic Theory, Elsevier, vol. 200(C).
  44. Pierpaolo Benigno & Salvatore Nisticò, 2012. "International Portfolio Allocation under Model Uncertainty," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 144-189, January.
  45. 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.
  46. Maximilian Blesch & Philipp Eisenhauer, 2021. "Robust decision-making under risk and ambiguity," Papers 2104.12573, arXiv.org, revised Oct 2021.
  47. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2021. "Implied volatility duration: A measure for the timing of uncertainty resolution," Journal of Financial Economics, Elsevier, vol. 140(1), pages 127-144.
  48. Stanca, Lorenzo, 2020. "A simplified approach to subjective expected utility," Journal of Mathematical Economics, Elsevier, vol. 87(C), pages 151-160.
  49. Falk, Armin & Zimmermann, Florian, 2016. "Beliefs and Utility: Experimental Evidence on Preferences for Information," IZA Discussion Papers 10172, Institute of Labor Economics (IZA).
  50. Lorenzo Stanca, 2023. "Recursive Preferences, Correlation Aversion, and the Temporal Resolution of Uncertainty," Carlo Alberto Notebooks 693 JEL Classification: C, Collegio Carlo Alberto, revised 2025.
  51. Fabrice Etilé & Pierre-Yves Geoffard, 2020. "Anxiety Increases the Willingness the Willingness to Be Exposed to Covid-19 Risk among Young Adults in France," PSE Working Papers halshs-03066539, HAL.
  52. 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.
  53. Mu Zhang, 2021. "A Theory of Choice Bracketing under Risk," Papers 2102.07286, arXiv.org, revised Aug 2021.
  54. Ravi Bansal & Hengjie Ai, 2016. "Macro Announcement Premium and Risk Preferences," 2016 Meeting Papers 715, Society for Economic Dynamics.
  55. Puhl, Martin & Savor, Pavel & Wilson, Mungo, 2024. "Uncertainty premia for small and large risks," Journal of Banking & Finance, Elsevier, vol. 167(C).
  56. de Castro, Luciano I. & Galvao, Antonio F. & Nunes, Daniel da Siva, 2025. "Dynamic economics with quantile preferences," Theoretical Economics, Econometric Society, vol. 20(1), January.
  57. Aurelian DIACONU & Doina AVRAM, 2017. "General Aspects of Risk and Uncertainty in Making Financial – Economic Decisions," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(6), pages 40-50, June.
  58. Juan Carlos CóRdoba & Marla Ripoll, 2017. "Risk Aversion and the Value of Life," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 84(4), pages 1472-1509.
  59. Luciano Castro & Antonio F. Galvao, 2022. "Static and dynamic quantile preferences," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 747-779, April.
  60. Li, Jian & Zhou, Junjie, 2016. "Blackwell's informativeness ranking with uncertainty-averse preferences," Games and Economic Behavior, Elsevier, vol. 96(C), pages 18-29.
  61. Massimo Marinacci & Giulio Principi & Lorenzo Stanca, 2023. "Recursive Preferences and Ambiguity Attitudes," Papers 2304.06830, arXiv.org, revised Jul 2024.
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