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Citations for "Recursive Multiple-Priors"

by Larry G. Epstein & Martin Schneider

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  1. Felipe Zurita, 2005. "Beyond Earthquakes: The New Directions of Expected Utility Theory," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 42(126), pages 209-255.
  2. 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.
  3. Werner, Jan, 2011. "Risk aversion for variational and multiple-prior preferences," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 382-390.
  4. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
  5. Massimiliano AMARANTE, 2014. "What is Ambiguity?," Cahiers de recherche 04-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  6. repec:ipg:wpaper:2013-016 is not listed on IDEAS
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. Subir Bose & Suresh Mutuswami, 2012. "Bilateral Bargaining in an Ambiguous Environment," Discussion Papers in Economics 12/10, Department of Economics, University of Leicester.
  13. 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.
  14. Larry G. Epstein & Massimo Marinacci & Seo Kyoungwon, 2006. "Coarse Contingencies," Carlo Alberto Notebooks 4, Collegio Carlo Alberto, revised 2007.
  15. Zhijun Zhao, 2011. "Preference Relativity, Ambiguity and Social Welfare Evaluation," Working Papers 352011, Hong Kong Institute for Monetary Research.
  16. Marciano Siniscalchi, 2006. "Dynamic Choice Under Ambiguity," Discussion Papers 1430, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  17. 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.
  18. Gadi Barlevy, 2009. "Policymaking under uncertainty: Gradualism and robustness," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q II, pages 38-55.
  19. Jianjun Miao & NENGJIU JU, 2010. "Ambiguity, Learning, And Asset Returns," Boston University - Department of Economics - Working Papers Series WP2010-031, Boston University - Department of Economics.
  20. Alexander Zimper, 2011. "Do Bayesians learn their way out of ambiguity?," Working Papers 240, Economic Research Southern Africa.
  21. repec:dau:papers:123456789/5375 is not listed on IDEAS
  22. 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.
  23. 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.
  24. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," NBER Working Papers 10597, National Bureau of Economic Research, Inc.
  25. 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.
  26. 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.
  27. Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," Working Papers 2014-06, Becker Friedman Institute for Research In Economics.
  28. 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.
  29. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 315-346, December.
  30. Patrick Cheridito & Freddy Delbaen & Michael Kupper, 2004. "Dynamic monetary risk measures for bounded discrete-time processes," Papers math/0410453, arXiv.org.
  31. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous volatility and asset pricing in continuous time," Papers 1301.4614, arXiv.org.
  32. 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).
  33. Lahno, Amrei M., 2014. "Social anchor effects in decision-making under ambiguity," Discussion Papers in Economics 20960, University of Munich, Department of Economics.
  34. Martins-da-Rocha, V. Filipe, 2010. "Interim efficiency with MEU-preferences," Journal of Economic Theory, Elsevier, vol. 145(5), pages 1987-2017, September.
  35. 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.
  36. Ricardo J. Caballero & Arvind Krishnamurthy, 2006. "Flight to Quality and Collective Risk Management," NBER Working Papers 12136, National Bureau of Economic Research, Inc.
  37. 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.
  38. 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.
  39. 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.
  40. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
  41. Robert Nau, 2011. "Risk, ambiguity, and state-preference theory," Economic Theory, Springer, vol. 48(2), pages 437-467, October.
  42. Cheridito, Patrick & Stadje, Mitja, 2009. "Time-inconsistency of VaR and time-consistent alternatives," Finance Research Letters, Elsevier, vol. 6(1), pages 40-46, March.
  43. Grant, Simon & Meneghel, Idione & Tourky, Rabee, 0. "Savage games," Theoretical Economics, Econometric Society.
  44. Itzhak Gilboa & Andrew Postlewaite & David Schmeidler, 2004. "Rationality of Belief," Levine's Bibliography 122247000000000690, UCLA Department of Economics.
  45. André Lapied & Pascal Toquebeuf, 2013. "A note on “Re-examining the law of iterated expectations for Choquet decision makers”," Theory and Decision, Springer, vol. 74(3), pages 439-445, March.
  46. 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.
  47. 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.
  48. 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.
  49. Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani, . "Ambiguity Aversion and the Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series 08-18, Swiss Finance Institute.
  50. 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.
  51. S\"oren Christensen, 2011. "Optimal decision under ambiguity for diffusion processes," Papers 1110.3897, arXiv.org, revised Oct 2012.
  52. Stergios Athanassoglou & Anastasios Xepapadeas, . "Pollution control: when, and how, to be precautious," DEOS Working Papers 1112, Athens University of Economics and Business.
  53. 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.
  54. Jianjun Miao, 2004. "Risk, uncertainty and option exercise," Finance 0410013, EconWPA.
  55. 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.
  56. M. Levati & Matthias Uhl & Ro’i Zultan, 2014. "Imperfect recall and time inconsistencies: an experimental test of the absentminded driver “paradox”," International Journal of Game Theory, Springer, vol. 43(1), pages 65-88, February.
  57. Wakai, Katsutoshi, 2011. "Modeling nonmonotone preferences: The case of utility smoothing," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 213-226, March.
  58. Bird, Ron & Yeung, Danny, 2012. "How do investors react under uncertainty?," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 310-327.
  59. Strzalecki, Tomasz & Werner, Jan, 2011. "Efficient Allocations under Ambiguity," Scholarly Articles 11352637, Harvard University Department of Economics.
  60. Andre Lapied & Pascal Toquebeuf, 2012. "Dynamically consistent CEU preferences," TEPP Working Paper 2012-10, TEPP.
  61. Anastasios Xepapadeas & Catarina Roseta-Palma, 2013. "Instabilities and robust control in natural resource management," Portuguese Economic Journal, Springer, vol. 12(3), pages 161-180, December.
  62. 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.
  63. Daniel, Engelage, 2011. "Optimal stopping with dynamic variational preferences," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2042-2074, September.
  64. Jürgen Eichberger & Simon Grant & David Kelsey, 2012. "When is ambiguity–attitude constant?," Journal of Risk and Uncertainty, Springer, vol. 45(3), pages 239-263, December.
  65. Larry Epstein & Martin Schneider, 2004. "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers 507, University of Rochester - Center for Economic Research (RCER).
  66. 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).
  67. 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.
  68. 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.
  69. repec:hal:journl:halshs-00130451 is not listed on IDEAS
  70. Park, Yang-Ho, 2015. "Volatility-of-volatility and tail risk hedging returns," Journal of Financial Markets, Elsevier, vol. 26(C), pages 38-63.
  71. Alexander Ludwig and Alexander Zimper, 2013. "Biased Bayesian Learning with an Application to the Risk-Free Rate Puzzle," Working Papers 390, Economic Research Southern Africa.
  72. 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.
  73. Dana, Rose-Anne & Riedel, Frank, 2013. "Intertemporal equilibria with Knightian uncertainty," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1582-1605.
  74. 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.
  75. Ricardo J. Caballero & Arvind Krishnamurthy, 2007. "Collective Risk Management in a Flight to Quality Episode," NBER Working Papers 12896, National Bureau of Economic Research, Inc.
  76. Eddie Dekel & Barton L. Lipman, 2010. "How (Not) to Do Decision Theory," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 257-282, 09.
  77. Cosmin Ilut & Matthias Kehrig & Martin Schneider, 2014. "Slow to Hire, Quick to Fire: Employment Dynamics with Asymmetric Responses to News," NBER Working Papers 20473, National Bureau of Economic Research, Inc.
  78. Epstein, Larry G. & Seo, Kyoungwon, 2014. "De Finetti meets Ellsberg," Research in Economics, Elsevier, vol. 68(1), pages 11-26.
  79. 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.
  80. 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.
  81. Larry Epstein & Martin Schneider, 2002. "Learning Under Ambiguity," RCER Working Papers 497, University of Rochester - Center for Economic Research (RCER), revised Mar 2005.
  82. Gaurab Aryal & Ronald Stauber, 2014. "Trembles in extensive games with ambiguity averse players," Economic Theory, Springer, vol. 57(1), pages 1-40, September.
  83. 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.
  84. 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.
  85. 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.
  86. Larry Epstein & Shaolin Ji, 2011. "Ambiguous Volatility, Possibility and Utility in Continuous Time," Papers 1103.1652, arXiv.org, revised Jan 2013.
  87. 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.
  88. Patrick Beißner, 2013. "Radner equilibria under ambiguous volatility," Center for Mathematical Economics Working Papers 493, Center for Mathematical Economics, Bielefeld University.
  89. 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.
  90. 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.
  91. Eichberger, Jurgen & Grant, Simon & Kelsey, David, 2007. "Updating Choquet beliefs," Journal of Mathematical Economics, Elsevier, vol. 43(7-8), pages 888-899, September.
  92. 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.
  93. Sören Christensen, 2013. "Optimal decision under ambiguity for diffusion processes," Mathematical Methods of Operations Research, Springer, vol. 77(2), pages 207-226, April.
  94. 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.
  95. Bade, Sophie, 2015. "Randomization devices and the elicitation of ambiguity-averse preferences," Journal of Economic Theory, Elsevier, vol. 159(PA), pages 221-235.
  96. Epstein, Larry G. & Marinacci, Massimo, 2007. "Mutual absolute continuity of multiple priors," Journal of Economic Theory, Elsevier, vol. 137(1), pages 716-720, November.
  97. Philipp Karl ILLEDITSCH, 2009. "Ambiguous Information, Risk Aversion, and Asset Pricing," 2009 Meeting Papers 802, Society for Economic Dynamics.
  98. repec:spr:compst:v:77:y:2013:i:2:p:207-226 is not listed on IDEAS
  99. Maccheroni, Fabio & Marinacci, Massimo & Rustichini, Aldo, 2006. "Dynamic variational preferences," Journal of Economic Theory, Elsevier, vol. 128(1), pages 4-44, May.
  100. 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.
  101. 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.
  102. Frank Riedel, 2003. "Dynamic Coherent Risk Measures," Working Papers 03004, Stanford University, Department of Economics.
  103. Larry Epstein, 2005. "An Axiomatic Model of Non-Bayesian Updating," RCER Working Papers 521, University of Rochester - Center for Economic Research (RCER).
  104. Wakai, Katsutoshi, 2012. "An infinite-horizon model of nonmonotone utility smoothing," Economics Letters, Elsevier, vol. 116(2), pages 170-173.
  105. 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.
  106. Gadi Barlevy, 2010. "Robustness and macroeconomic policy," Working Paper Series WP-2010-04, Federal Reserve Bank of Chicago.
  107. 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.
  108. 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.
  109. 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.
  110. Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
  111. 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.
  112. 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.
  113. 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.
  114. Nishimura, Kiyohiko G. & Ozaki, Hiroyuki, 2004. "Search and Knightian uncertainty," Journal of Economic Theory, Elsevier, vol. 119(2), pages 299-333, December.
  115. 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.
  116. 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.
  117. Marie-Louise Vierø, 2009. "Exactly what happens after the Anscombe–Aumann race?," Economic Theory, Springer, vol. 41(2), pages 175-212, November.
  118. 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.
  119. Jürgen Eichberger & Simon Grant & David Kelsey, 2014. "Randomization and Dynamic Consistency," Discussion Papers 1409, Exeter University, Department of Economics.
  120. Lars P. Hansen & Thomas J. Sargent, 2016. "Sets of Models and Prices of Uncertainty," NBER Working Papers 22000, National Bureau of Economic Research, Inc.
  121. Atsushi Kajii & Takashi Ui, 2007. "Interim Efficient Allocations under Uncertainty," KIER Working Papers 642, Kyoto University, Institute of Economic Research.
  122. Raman Uppal & Tan Wang, 2003. "Model Misspecification and Underdiversification," Journal of Finance, American Finance Association, vol. 58(6), pages 2465-2486, December.
  123. Edi Karni & Marie-Louise Vierø, 2013. "Probabilistic Sophistication and Reverse Bayesianism," Working Papers 1303, Queen's University, Department of Economics.
  124. Guido, Cataife, 2007. "The pronouncements of paranoid politicians," MPRA Paper 4473, University Library of Munich, Germany.
  125. Riella, Gil, 2013. "Preference for Flexibility and Dynamic Consistency," Journal of Economic Theory, Elsevier, vol. 148(6), pages 2467-2482.
  126. 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.
  127. 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.
  128. repec:hal:journl:halshs-00211942 is not listed on IDEAS
  129. Yehuda Izhakian & Zur Izhakian, 2015. "Decision making in phantom spaces," Economic Theory, Springer, vol. 58(1), pages 59-98, January.
  130. Atsushi Kajii & Takashi Ui, 2004. "Trade with Heterogeneous Multiple Priors," KIER Working Papers 582, Kyoto University, Institute of Economic Research.
  131. Heyen, Daniel & Wiesenfarth, Boris R., 2014. "Informativeness of Experiments for MEU - A Recursive Definition," Working Papers 0572, University of Heidelberg, Department of Economics.
  132. 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.
  133. Hayashi, Takashi, 2009. "Stopping with anticipated regret," Journal of Mathematical Economics, Elsevier, vol. 45(7-8), pages 479-490, July.
  134. repec:ipg:wpaper:16 is not listed on IDEAS
  135. Carole Bernard & Shaolin Ji & Weidong Tian, 2013. "An optimal insurance design problem under Knightian uncertainty," Decisions in Economics and Finance, Springer, vol. 36(2), pages 99-124, November.
  136. Ludwig, Alexander & Zimper, Alexander, 2004. "Investment Behavior under Ambiguity: The Case of Pessimistic Decision Makers," Sonderforschungsbereich 504 Publications 04-31, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  137. 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.
  138. Massimo Marinacci, 2002. "Learning from ambiguous urns," Statistical Papers, Springer, vol. 43(1), pages 143-151, January.
  139. Wakai, Katsutoshi, 2007. "A note on recursive multiple-priors," Journal of Economic Theory, Elsevier, vol. 135(1), pages 567-571, July.
  140. Vorbrink, Jörg, 2014. "Financial markets with volatility uncertainty," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 64-78.
  141. Anna Gumena & Andrei Savochkin, 2012. "Dynamically Stable Preferences," Carlo Alberto Notebooks 263, Collegio Carlo Alberto.
  142. Rosen Valchev & Nicolas Vincent & Cosmin Ilut, 2014. "Paralyzed by Fear: Rigid and Discrete Pricing under Demand Uncertainty," 2014 Meeting Papers 716, Society for Economic Dynamics.
  143. Aryal, Gaurab & Stauber, Ronald, 2014. "A note on Kuhn’s Theorem with ambiguity averse players," Economics Letters, Elsevier, vol. 125(1), pages 110-114.
  144. Takao Asano, 2010. "Portfolio Inertia and Epsilon-Contaminations," Theory and Decision, Springer, vol. 68(3), pages 341-365, March.
  145. Ricardo Caballero & Arvind Krishnamurthy, 2005. "Financial System Risk and Flight to Quality," NBER Working Papers 11834, National Bureau of Economic Research, Inc.
  146. Andrés Perea, 2009. "A Model of Minimal Probabilistic Belief Revision," Theory and Decision, Springer, vol. 67(2), pages 163-222, August.
  147. Nina Boyarchenko, 2009. "Ambiguity, Information Quality and Credit Risk," 2009 Meeting Papers 1028, Society for Economic Dynamics.
  148. André Lapied & Pascal Tocquebeuf, 2007. "Consistent Dynamice Choice And Non-Expected Utility Preferences," Working Papers halshs-00353880, HAL.
  149. Chambers, Robert G. & Melkonyan, Tigran, 2009. "Smoothing preference kinks with information," Mathematical Social Sciences, Elsevier, vol. 58(2), pages 173-189, September.
  150. Chudjakow, Tatjana & Riedel, Frank, 2010. "The Best Choice Problem under Ambiguity," Center for Mathematical Economics Working Papers 413, Center for Mathematical Economics, Bielefeld University.
  151. 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.
  152. Qian Lin & Frank Riedel, 2014. "Optimal consumption and portfolio choice with ambiguity," Papers 1401.1639, arXiv.org.
  153. Christian Flor & Linda Larsen, 2014. "Robust portfolio choice with stochastic interest rates," Annals of Finance, Springer, vol. 10(2), pages 243-265, May.
  154. Ellis, Andrew, 0. "Condorcet meets Ellsberg," Theoretical Economics, Econometric Society.
  155. Dominiak, Adam & Duersch, Peter & Lefort, Jean-Philippe, 2012. "A dynamic Ellsberg urn experiment," Games and Economic Behavior, Elsevier, vol. 75(2), pages 625-638.
  156. Thimme, Julian & Völkert, Clemens, 2015. "High order smooth ambiguity preferences and asset prices," Review of Financial Economics, Elsevier, vol. 27(C), pages 1-15.
  157. 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.
  158. Mukerji, Sujoy, 2009. "Foundations Of Ambiguity And Economic Modelling," Economics and Philosophy, Cambridge University Press, vol. 25(03), pages 297-302, November.
  159. Monika Bier & Daniel Engelage, 2010. "Merging of Opinions under Uncertainty," Bonn Econ Discussion Papers bgse11_2010, University of Bonn, Germany.
  160. 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.
  161. 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.
  162. 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.
  163. Robert Kast, 2011. "Managing financial risks due to natural catastrophes," Working Papers hal-00610241, HAL.
  164. 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.
  165. 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.
  166. 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.
  167. Luis H. R. Alvarez, 2007. "Knightian Uncertainty, k-Ignorance, and Optimal Timing," Discussion Papers 25, Aboa Centre for Economics.
  168. Larry G. Epstein & JianJun Miao, 2001. "A Two-Person Dynamic Equilibrium under Ambiguity," RCER Working Papers 478, University of Rochester - Center for Economic Research (RCER).
  169. 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.
  170. Robert Kast & André Lapied, 2010. "Dynamically consistent Choquet random walk and real investments," Working Papers halshs-00533826, HAL.
  171. Hennlock, Magnus, 2009. "Robust Control in Global Warming Management: An Analytical Dynamic Integrated Assessment," Discussion Papers dp-09-19, Resources For the Future.
  172. Larry G. Epstein & Igor Kopylov, 2007. "An axiomatic model of 'cold feet'," RCER Working Papers 533, University of Rochester - Center for Economic Research (RCER).
  173. 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.
  174. Jean-Philippe Lefort, 2006. "Comparison of experts in the non-additive case," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00130451, HAL.
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  176. Pritsker, Matthew, 2013. "Knightian uncertainty and interbank lending," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 85-105.
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  178. 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.
  179. 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.
  180. Nicolas Vincent & Isaac Kleshchelski, 2008. "Robust Equilibrium Yield Curves," 2008 Meeting Papers 486, Society for Economic Dynamics.
  181. 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.
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  185. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
  186. 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.
  187. Riedel, Frank, 2010. "Optimal Stopping under Ambiguity," Center for Mathematical Economics Working Papers 390, Center for Mathematical Economics, Bielefeld University.
  188. 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.
  189. Katsutoshi Wakai, 2013. "Intertemporal utility smoothing under uncertainty," Theory and Decision, Springer, vol. 74(2), pages 285-310, February.
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  191. 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.
  192. 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.
  193. 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.
  194. Bier, Monika & Engelage, Daniel, 2011. "Merging of opinions under uncertainty," Center for Mathematical Economics Working Papers 433, Center for Mathematical Economics, Bielefeld University.
  195. Takao Asano, 2004. "Portfolio Inertia and [Epsilon]-Contaminations," ISER Discussion Paper 0610, Institute of Social and Economic Research, Osaka University.
  196. Eduardo Corso, 2015. "Ambiguity and portfolio decisions," BCRA Working Paper Series 201567, Central Bank of Argentina, Economic Research Department.
  197. 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.
  198. repec:dau:papers:123456789/7357 is not listed on IDEAS
  199. 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.
  200. repec:dau:papers:123456789/7333 is not listed on IDEAS
  201. Qiu, Jianying & Weitzel, Utz, 2013. "Experimental Evidence on Valuation and Learning with Multiple Priors," MPRA Paper 43974, University Library of Munich, Germany.
  202. Chambers, Christopher P. & Hayashi, Takashi, 2010. "Bayesian consistent belief selection," Journal of Economic Theory, Elsevier, vol. 145(1), pages 432-439, January.
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