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Citations for "A Two-Person Dynamic Equilibrium under Ambiguity"

by Larry G. Epstein & JianJun Miao

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  1. Jianjun Miao, . "Ambiguity, Risk and Portfolio Choice under Incomplete Information," Boston University - Department of Economics - Working Papers Series wp2009-019, Boston University - Department of Economics.
  2. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2002. "A smooth model of decision making under ambiguity," ICER Working Papers - Applied Mathematics Series 11-2003, ICER - International Centre for Economic Research, revised Apr 2003.
  3. Raman Uppal & Tan Wang, 2003. "Model Misspecification and Underdiversification," Journal of Finance, American Finance Association, vol. 58(6), pages 2465-2486, December.
  4. 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.
  5. Giannis Vardas & Anastasios Xepapadeas, 2004. "Uncertainty Aversion, Robust Control and Asset Holdings," Working Papers 0402, University of Crete, Department of Economics.
  6. Massimo Guidolin, 2005. "Home bias and high turnover in an overlapping generations model with learning," Working Papers 2005-012, Federal Reserve Bank of St. Louis.
  7. Giofré, Maela, 2014. "Domestic investor protection and foreign portfolio investment," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 355-371.
  8. Giofré, Maela, 2009. "The role of information asymmetries and inflation hedging in international equity portfolios," Journal of Multinational Financial Management, Elsevier, vol. 19(4), pages 237-255, October.
  9. 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.
  10. Leh-Chyan So, 2014. "Are Real Options "Real"? Isolating Uncertainty From Risk In Real Options Analysis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1450001-1-1.
  11. Dimmock, Stephen G. & Kouwenberg, Roy & Mitchell, Olivia S. & Peijnenburg, Kim, 2016. "Ambiguity aversion and household portfolio choice puzzles: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 119(3), pages 559-577.
  12. Alain Chateauneuf & Luciano I. de Castro, 2011. "Ambiguity Aversion and Trade," Discussion Papers 1526, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  13. 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.
  14. Sujoy Mukerji & Jean-Marc Tallon, 2003. "An overview of economic applications of David Schmeidler`s models of decision making under uncertainty," Economics Series Working Papers 165, University of Oxford, Department of Economics.
  15. 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.
  16. 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.
  17. Nengjiu Ju & Jianjun Miao, . "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series wp2009-014, Boston University - Department of Economics.
  18. Q. Farooq Akram & Yakov Ben-Haim & Øyvind Eitrheim, 2006. "Managing uncertainty through robust-satisficing monetary policy," Working Paper 2006/10, Norges Bank.
  19. 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 Défense, EconomiX.
  20. 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.
  21. Eric André, 2013. "Optimal Portfolio with Vector Expected Utility," AMSE Working Papers 1308, Aix-Marseille School of Economics, Marseille, France, revised 11 Feb 2013.
  22. Wei-ling Chen & Leh-chyan So, 2014. "Validation of the Merton Distance to the Default Model under Ambiguity," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(1), pages 13, March.
  23. 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.
  24. Cao, Henry & Han, Bing & Hirshleifer, David & Zhang, Harold, 2007. "Fear of the Unknown: Familiarity and Economic Decisions," MPRA Paper 6512, University Library of Munich, Germany.
  25. Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
  26. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 315-346, December.
  27. José Faro, 2013. "Cobb-Douglas preferences under uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 54(2), pages 273-285, October.
  28. Jianjun Miao & Neng Wang, 2007. "Risk, Uncertainty, and Option Exercise," Boston University - Department of Economics - Working Papers Series WP2007-016, Boston University - Department of Economics.
  29. 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.
  30. Pierpaolo Benigno & Salvatore Nisticò, 2009. "International Portfolio Allocation under Model Uncertainty," NBER Working Papers 14734, National Bureau of Economic Research, Inc.
  31. 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.
  32. Christian Bauer, 2012. "Products of non-additive measures: a Fubini-like theorem," Theory and Decision, Springer, vol. 73(4), pages 621-647, October.
  33. Itzhak Gilboa & Andrew Postlewaite & David Schmeidler, 2004. "Rationality of Belief," Levine's Bibliography 122247000000000690, UCLA Department of Economics.
  34. Maela Giofré, 2012. "Convergence of EMU Equity Portfolios," Open Economies Review, Springer, vol. 23(2), pages 381-419, April.
  35. 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.
  36. Maela Giofré, 2010. "Investor Protection and Foreign Stakeholders," CESifo Working Paper Series 3102, CESifo Group Munich.
  37. Fabio Maccheroni & Massimo Marinacci & Doriana Ruffino, 2010. "Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis," Working Papers 373, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  38. Peter Bossaerts & Paolo Ghirardato & Serena Guarnaschelli & William R. Zame, 2010. "Ambiguity in Asset Markets: Theory and Experiment," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1325-1359, April.
  39. Pierpaolo Benigno, 2007. "Portfolio Choices with Near Rational Agents: A Solution of Some International-Finance Puzzles," NBER Working Papers 13173, National Bureau of Economic Research, Inc.
  40. Takanori Adachi & Takao Asano, 2011. "Entrepreneurial Choice and Knightian Uncertainty with Borrowing Constraints," KIER Working Papers 803, Kyoto University, Institute of Economic Research.
  41. Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 493-507.
  42. Matteo Del Vigna, 2011. "Ambiguity made easier," Working Papers - Mathematical Economics 2011-07, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  43. Giofré, Maela, 2015. "Financial Education, Investor Protection and International Portfolio Diversification," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201547, University of Turin.
  44. Yael V. Hochberg & Joshua D. Rauh, 2011. "Local Overweighting and Underperformance: Evidence from Limited Partner Private Equity Investments," NBER Working Papers 17122, National Bureau of Economic Research, Inc.
  45. Alain Chateauneuf & Luciano De Castro, 2011. "Ambiguity Aversion and Absence of Trade," Discussion Papers 1535, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  46. Hui Chen & Nengjiu Ju & Jianjun Miao, . "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - Working Papers Series wp2009-015, Boston University - Department of Economics.
  47. 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.
  48. Pascal L. Ghazalian, 2012. "Home Bias in Primary Agricultural and Processed Food Trade: Assessing the Effects of National Degree of Uncertainty Aversion," Journal of Agricultural Economics, Wiley Blackwell, vol. 63(2), pages 265-290, 06.
  49. Nigel Pain & Desirée Van Welsum, 2003. "Untying The Gordian Knot: The Multiple Links Between Exchange Rates and Foreign Direct Investment," Journal of Common Market Studies, Wiley Blackwell, vol. 41(5), pages 823-846, December.
  50. Rieger, Marc Oliver & Wang, Mei, 2012. "Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data," Finance Research Letters, Elsevier, vol. 9(2), pages 63-72.
  51. 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.
  52. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
  53. 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.
  54. Nina Boyarchenko, 2009. "Ambiguity, Information Quality and Credit Risk," 2009 Meeting Papers 1028, Society for Economic Dynamics.
  55. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 229-242, October.
  56. Larry Epstein & Martin Schneider, 2006. "Learning Under Ambiguity," RCER Working Papers 527, University of Rochester - Center for Economic Research (RCER).
  57. Jaroslav Borovicka, 2011. "Survival and long-run dynamics with heterogeneous beliefs under recursive preferences," Working Paper Series WP-2011-06, Federal Reserve Bank of Chicago.
  58. Beißner, Patrick, 2015. "Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility," Center for Mathematical Economics Working Papers 447, Center for Mathematical Economics, Bielefeld University.
  59. Chiaki Hara, 2006. "Heterogeneous Risk Attitudes In A Continuous-Time Model," The Japanese Economic Review, Japanese Economic Association, vol. 57(3), pages 377-405.
  60. repec:dau:papers:123456789/5374 is not listed on IDEAS
  61. Guidolin, Massimo, 2003. "International asset prices and portfolio choices under Bayesian learning," Research in Economics, Elsevier, vol. 57(4), pages 383-437, December.
  62. Liu, Jun & Pan, Jun & Wang, Tan, 2002. "An Equilibrium Model of Rare Event Premia," Working papers 4370-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  63. 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.
  64. Dennis Dlugosch & Kristian Horn & Mei Wang, 2014. "Behavioral determinants of home bias - theory and experiment," Working Papers 2014-11, Faculty of Economics and Statistics, University of Innsbruck.
  65. Juan Carlos Hatchondo, 2005. "Asymmetric information and the lack of international portfolio diversification," Working Paper 05-07, Federal Reserve Bank of Richmond.
  66. Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015. "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 134-151.
  67. Jianjun Miao & Bin Wei & Hao Zhou, 2012. "Ambiguity Aversion and Variance Premium," Boston University - Department of Economics - Working Papers Series WP2012-009, Boston University - Department of Economics.
  68. Chiaki Hara & Toshiki Honda, 2016. "Mutual Fund Theorem for Ambiguity-Averse Investors and the Optimality of the Market Portfolio," KIER Working Papers 943, Kyoto University, Institute of Economic Research.
  69. 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.
  70. 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.
  71. 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.
  72. Giannis Vardas & Anastasios Xepapadeas, 2004. "Uncertainty Aversion and Robust Portfolio Choices," Working Papers 0408, University of Crete, Department of Economics.
  73. 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.
  74. Ruffino, Doriana, 2013. "A Robust Capital Asset Pricing Model," Finance and Economics Discussion Series 2014-1, Board of Governors of the Federal Reserve System (U.S.).
  75. Giofré, Maela, 2013. "International diversification: Households versus institutional investors," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 145-176.
  76. Giofré, Maela, 2013. "Investor protection rights and foreign investment," Journal of Comparative Economics, Elsevier, vol. 41(2), pages 506-526.
  77. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
  78. Giofré, Maela M., 2008. "Bias in foreign equity portfolios: households versus professional investors," MPRA Paper 13929, University Library of Munich, Germany.
  79. Asano, Takao, 2010. "Optimal tax policy and foreign direct investment under ambiguity," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 185-200, March.
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