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Uncertainty and Risk in Financial Markets

Citations

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Cited by:

  1. Król, Michał, 2012. "Product differentiation decisions under ambiguous consumer demand and pessimistic expectations," International Journal of Industrial Organization, Elsevier, vol. 30(6), pages 593-604.
  2. Özgür Evren, 2012. "Scalarization Methods and Expected Multi-Utility Representations," Working Papers w0174, New Economic School (NES).
  3. Weidong Tian & Daisuke Yoshikawa, 2017. "Analyzing Equilibrium in Incomplete Markets with Model Uncertainty," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 235-262, June.
  4. König-Kersting, Christian & Kops, Christopher & Trautmann, Stefan T., 2023. "A test of (weak) certainty independence," Journal of Economic Theory, Elsevier, vol. 209(C).
  5. repec:ipg:wpaper:2014-061 is not listed on IDEAS
  6. Gil Riella, 2015. "On the representation of incomplete preferences under uncertainty with indecisiveness in tastes and beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 58(3), pages 571-600, April.
  7. Gerasimou, Georgios, 2018. "On the indifference relation in Bewley preferences," Economics Letters, Elsevier, vol. 164(C), pages 24-26.
  8. Martins-da-Rocha, Victor Filipe & Yannelis, Nicholas C., 2011. "Non-emptiness of the alpha-core," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 716, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  9. Giuseppe Lopomo & Luca Rigotti & Chris Shannon, 2021. "Uncertainty in Mechanism Design," Papers 2108.12633, arXiv.org.
  10. Edi Karni, 2014. "Familiarity breeds completeness," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(1), pages 109-124, May.
  11. Daniela Cagno & Daniela Grieco, 2023. "Insurance Choices and Sources of Ambiguity," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 9(1), pages 295-319, March.
  12. Chambers, Robert G., 2014. "Uncertain equilibria and incomplete preferences," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 48-54.
  13. Evren, Özgür, 2014. "Scalarization methods and expected multi-utility representations," Journal of Economic Theory, Elsevier, vol. 151(C), pages 30-63.
  14. Karni, Edi & Vierø, Marie-Louise, 2023. "Comparative incompleteness: Measurement, behavioral manifestations and elicitation," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 423-442.
  15. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2023. "Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation," Management Science, INFORMS, vol. 69(4), pages 2051-2068, April.
  16. Araujo, Aloisio & Chateauneuf, Alain & Faro, José Heleno, 2018. "Financial market structures revealed by pricing rules: Efficient complete markets are prevalent," Journal of Economic Theory, Elsevier, vol. 173(C), pages 257-288.
  17. Oh, Ji Yeol Jimmy, 2014. "Ambiguity aversion, funding liquidity, and liquidation dynamics," Journal of Financial Markets, Elsevier, vol. 18(C), pages 49-76.
  18. Easley, David & O'Hara, Maureen, 2010. "Liquidity and valuation in an uncertain world," Journal of Financial Economics, Elsevier, vol. 97(1), pages 1-11, July.
  19. repec:dau:papers:123456789/5375 is not listed on IDEAS
  20. Dana, R.A. & Le Van, C., 2014. "Efficient allocations and equilibria with short-selling and incomplete preferences," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 101-105.
  21. Lopomo, Giuseppe & Rigotti, Luca & Shannon, Chris, 2022. "Uncertainty and robustness of surplus extraction," Journal of Economic Theory, Elsevier, vol. 199(C).
  22. Strzalecki, Tomasz & Werner, Jan, 2011. "Efficient allocations under ambiguity," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1173-1194, May.
  23. Kelsey, David & Yalcin, Erkan, 2007. "The arbitrage pricing theorem with incomplete preferences," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 90-105, July.
  24. Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," L'Actualité Economique, Société Canadienne de Science Economique, vol. 92(1-2), pages 351-383.
  25. Dana, Rose-Anne & Riedel, Frank, 2013. "Intertemporal equilibria with Knightian uncertainty," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1582-1605.
  26. Eric Danan & Thibault Gajdos & Brian Hill & Jean-Marc Tallon, 2016. "Robust Social Decisions," American Economic Review, American Economic Association, vol. 106(9), pages 2407-2425, September.
  27. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015, January-A.
  28. Rigotti, Luca & Shannon, Chris, 2012. "Sharing risk and ambiguity," Journal of Economic Theory, Elsevier, vol. 147(5), pages 2028-2039.
  29. ,, 2013. "Endogenous indeterminacy and volatility of asset prices under ambiguity," Theoretical Economics, Econometric Society, vol. 8(3), September.
  30. 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.
  31. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2020. "Model-free bounds for multi-asset options using option-implied information and their exact computation," Papers 2006.14288, arXiv.org, revised Jan 2022.
  32. Sun, Yizhong & Jin, Keyan & Wang, Deyong & Wu, Qingyang & Li, Zhezhou, 2023. "Revisiting the natural resources-financial development nexus in China: The importance of economic policy uncertainty," Resources Policy, Elsevier, vol. 86(PB).
  33. Seok, Sangik & Cho, Hoon & Ryu, Doojin, 2024. "Dual effects of investor sentiment and uncertainty in financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 300-315.
  34. Antoine Billot & Sujoy Mukerji & Jean-Marc Tallon, 2020. "Market Allocations under Ambiguity: A Survey," Revue économique, Presses de Sciences-Po, vol. 71(2), pages 267-282.
  35. Weixuan Xia, 2023. "Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences," Papers 2312.00266, arXiv.org, revised Jan 2025.
  36. Kajii, Atsushi & Ui, Takashi, 2009. "Interim efficient allocations under uncertainty," Journal of Economic Theory, Elsevier, vol. 144(1), pages 337-353, January.
  37. Hyejin Cho, 2015. "Speculative Bubble Burst," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01184540, HAL.
  38. 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.
  39. Eisei Ohtaki, 2023. "Optimality in an OLG model with nonsmooth preferences," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(3), pages 611-659, September.
  40. Patrick Beissner & Frank Riedel, 2016. "Knight--Walras Equilibria," Papers 1605.04385, arXiv.org.
  41. Mandler, Michael, 2014. "Indecisiveness in behavioral welfare economics," Journal of Economic Behavior & Organization, Elsevier, vol. 97(C), pages 219-235.
  42. 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.
  43. Faro, José Heleno, 2012. "Cobb-Douglas Preferences under Uncertainty," Insper Working Papers wpe_278, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  44. Lo, Kin Chung, 2007. "Sharing beliefs about actions," Mathematical Social Sciences, Elsevier, vol. 53(2), pages 123-133, March.
  45. Patrick Beissner & Frank Riedel, 2014. "Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty," Papers 1409.6940, arXiv.org.
  46. Aguilar, Francisco X. & Cai, Zhen, 2010. "Exploratory analysis of prospects for renewable energy private investment in the U.S," Energy Economics, Elsevier, vol. 32(6), pages 1245-1252, November.
  47. repec:dau:papers:123456789/11268 is not listed on IDEAS
  48. Eric Danan & Anthony Ziegelmeyer, 2006. "Are preferences complete? An experimental measurement of indecisiveness under risk," Papers on Strategic Interaction 2006-01, Max Planck Institute of Economics, Strategic Interaction Group.
  49. 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.
  50. Edward E. Schlee & M. Ali Khan, 2022. "Money Metrics In Applied Welfare Analysis: A Saddlepoint Rehabilitation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(1), pages 189-210, February.
  51. repec:ipg:wpaper:16 is not listed on IDEAS
  52. B. Douglas Bernheim, 2009. "Behavioral Welfare Economics," Journal of the European Economic Association, MIT Press, vol. 7(2-3), pages 267-319, 04-05.
  53. Hill, Brian, 2016. "Incomplete preferences and confidence," Journal of Mathematical Economics, Elsevier, vol. 65(C), pages 83-103.
  54. Dehao Dai & Ding Ma & Dou Liu & Kerui Geng & Yiqing Wang, 2026. "Beyond Polarity: Multi-Dimensional LLM Sentiment Signals for WTI Crude Oil Futures Return Prediction," Papers 2603.11408, arXiv.org, revised Mar 2026.
  55. B. Douglas Bernheim & Antonio Rangel, 2009. "Beyond Revealed Preference: Choice-Theoretic Foundations for Behavioral Welfare Economics," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 124(1), pages 51-104.
  56. Kuamvi Sodji, 2023. "Estimating the link between trade uncertainty, pandemic uncertainty and food price stability in Togo: New evidence for an asymmetric analysis," Review of Development Economics, Wiley Blackwell, vol. 27(2), pages 1113-1134, May.
  57. G. Carlier & R.-A. Dana & R.-A. Dana, 2014. "Pareto optima and equilibria when preferences are incompletely known," Working Papers 2014-60, Department of Research, Ipag Business School.
  58. John Dickhaut & Radhika Lunawat & Kira Pronin & Jack Stecher, 2011. "Decision making and trade without probabilities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 275-288, October.
  59. Martins-da-Rocha, V. Filipe, 2010. "Interim efficiency with MEU-preferences," Journal of Economic Theory, Elsevier, vol. 145(5), pages 1987-2017, September.
  60. Gerasimou, Georgios, 2018. "On the indifference relation in Bewley preferences," Economics Letters, Elsevier, vol. 164(C), pages 24-26.
  61. Luciano Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 243-273, October.
  62. Chambers, Christopher P. & Echenique, Federico, 2025. "Empirical welfare economics," Theoretical Economics, Econometric Society, vol. 20(3), July.
  63. repec:ipg:wpaper:2014-060 is not listed on IDEAS
  64. Evren, Özgür & Ok, Efe A., 2011. "On the multi-utility representation of preference relations," Journal of Mathematical Economics, Elsevier, vol. 47(4-5), pages 554-563.
  65. Guillaume Carlier & Rose-Anne Dana, 2013. "Pareto optima and equilibria when preferences are incompletely known," Post-Print hal-00661903, HAL.
  66. Xiaohua Zhao & Yuhuang Zheng & Fang Wan, 2020. "Unrelated efforts trigger wishful winning? The impact of extraneous efforts on judgments of winning probability among Chinese consumers," Asian Business & Management, Palgrave Macmillan, vol. 19(5), pages 560-581, November.
  67. Hye-Jin Cho, 2016. "Speculative Bubble Burst," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01306093, HAL.
  68. R.A Dana & C. Le Van, 2014. "Efficient allocations and Equilibria with short," Working Papers 2014-61, Department of Research, Ipag Business School.
  69. Lopomo, Giuseppe & Rigotti, Luca & Shannon, Chris, 2011. "Knightian uncertainty and moral hazard," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1148-1172, May.
  70. Stauber, Ronald, 2011. "Knightian games and robustness to ambiguity," Journal of Economic Theory, Elsevier, vol. 146(1), pages 248-274, January.
  71. Robert G. Chambers & Tigran Melkonyan & John Quiggin, 2022. "Incomplete preferences, willingness to pay, and willingness to accept," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(3), pages 727-761, October.
  72. Xiaohua Zhao & Yuhuang Zheng & Fang Wan, 0. "Unrelated efforts trigger wishful winning? The impact of extraneous efforts on judgments of winning probability among Chinese consumers," Asian Business & Management, Palgrave Macmillan, vol. 0, pages 1-22.
  73. Haykel Tlili & Kais Tissaoui & Bassem Kahouli & Rabab Triki, 2024. "How volatility in the oil market and uncertainty shocks affect Saudi economy: a frequency approach," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 11(1), pages 1-24, December.
  74. 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.
  75. Won, Dong Chul & Yannelis, Nicholas C., 2011. "Equilibrium theory with satiable and non-ordered preferences," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 245-250, March.
  76. Giovanni Paolo Crespi & Andreas H. Hamel & Matteo Rocca & Carola Schrage, 2021. "Set Relations via Families of Scalar Functions and Approximate Solutions in Set Optimization," Mathematics of Operations Research, INFORMS, vol. 46(1), pages 361-381, February.
  77. Polak, George G. & Rogers, David F. & Sweeney, Dennis J., 2010. "Risk management strategies via minimax portfolio optimization," European Journal of Operational Research, Elsevier, vol. 207(1), pages 409-419, November.
  78. repec:ipg:wpaper:2013-016 is not listed on IDEAS
  79. repec:ipg:wpaper:201420 is not listed on IDEAS
  80. Leandro Nascimento, 2011. "Remarks on the consumer problem under incomplete preferences," Theory and Decision, Springer, vol. 70(1), pages 95-110, January.
  81. Phan, Dinh Hoang Bach & Iyke, Bernard Njindan & Sharma, Susan Sunila & Affandi, Yoga, 2021. "Economic policy uncertainty and financial stability–Is there a relation?," Economic Modelling, Elsevier, vol. 94(C), pages 1018-1029.
  82. repec:ipg:wpaper:59 is not listed on IDEAS
  83. Feduzi, Alberto & Runde, Jochen, 2011. "The uncertain foundations of the welfare state," Journal of Economic Behavior & Organization, Elsevier, vol. 80(3), pages 613-627.
  84. repec:hal:pseose:halshs-01415412 is not listed on IDEAS
  85. Leonardo Pejsachowicz, 2016. "Stochastic Independence under Knightian Uncertainty," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01753323, HAL.
  86. Mihm, Maximilian, 2016. "Reference dependent ambiguity," Journal of Economic Theory, Elsevier, vol. 163(C), pages 495-524.
  87. Sergio Santoro, 2017. "Heterogeneity and learning with complete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(1), pages 183-211, June.
  88. Tamini, Lota D., 2012. "Optimal quality choice under uncertainty on market development," MPRA Paper 40845, University Library of Munich, Germany.
  89. Carlier, G. & Dana, R.-A., 2013. "Pareto optima and equilibria when preferences are incompletely known," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1606-1623.
  90. Ma, Wei, 2015. "The existence and efficiency of general equilibrium with incomplete markets under Knightian uncertainty," Economics Letters, Elsevier, vol. 134(C), pages 78-81.
  91. Chowdhury, Mohammad Ashraful Ferdous & Meo, Muhammad Saeed & Aloui, Chaker, 2021. "How world uncertainties and global pandemics destabilized food, energy and stock markets? Fresh evidence from quantile on quantile regressions," International Review of Financial Analysis, Elsevier, vol. 76(C).
  92. Patrick Beissner & Frank Riedel, 2019. "Equilibria Under Knightian Price Uncertainty," Econometrica, Econometric Society, vol. 87(1), pages 37-64, January.
  93. Tian, Dejian & Tian, Weidong, 2014. "Optimal risk-sharing under mutually singular beliefs," Mathematical Social Sciences, Elsevier, vol. 72(C), pages 41-49.
  94. Eric Danan & Anthony Ziegelmeyer, 2004. "Are preferences incomplete? An experimental study using flexible choices," Papers on Strategic Interaction 2004-23, Max Planck Institute of Economics, Strategic Interaction Group.
  95. Galanis, Spyros, 2018. "Financial complexity and trade," Games and Economic Behavior, Elsevier, vol. 112(C), pages 219-230.
  96. Ekaterina Svetlova & Henk van Elst, 2012. "How is non-knowledge represented in economic theory?," Papers 1209.2204, arXiv.org.
  97. Patrick Beissner & Frank Riedel, 2018. "Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty," Finance and Stochastics, Springer, vol. 22(3), pages 603-620, July.
  98. Hye-jin Cho, 2016. "Speculative Bubble Burst," Documents de travail du Centre d'Economie de la Sorbonne 16021, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  99. Stefan T. Trautmann & Ferdinand M. Vieider & Peter P. Wakker, 2011. "Preference Reversals for Ambiguity Aversion," Management Science, INFORMS, vol. 57(7), pages 1320-1333, July.
  100. Rodríguez, Yeny E. & Gómez, Juan M. & Contreras, Javier, 2021. "Diversified behavioral portfolio as an alternative to Modern Portfolio Theory," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  101. Chambers, Robert G. & Melkonyan, Tigran, 2009. "Smoothing preference kinks with information," Mathematical Social Sciences, Elsevier, vol. 58(2), pages 173-189, September.
  102. Ma, Wei, 2018. "Real indeterminacy of general equilibrium under Knightian uncertainty," Journal of Mathematical Economics, Elsevier, vol. 79(C), pages 106-111.
  103. Heller, Yuval, 2012. "Justifiable choice," Games and Economic Behavior, Elsevier, vol. 76(2), pages 375-390.
  104. Joachim Keller & Peter Praet, 2009. "Extreme events and financial system governance : some lessons from the crisis," Financial Stability Review, National Bank of Belgium, vol. 7(1), pages 127-138, June.
  105. Hyejin Cho, 2015. "Speculative Bubble Burst," Working Papers hal-01184540, HAL.
  106. Pivato, Marcus, 2013. "Multiutility representations for incomplete difference preorders," Mathematical Social Sciences, Elsevier, vol. 66(3), pages 196-220.
  107. Chambers, Christopher P. & Echenique, Federico, 2012. "When does aggregation reduce risk aversion?," Games and Economic Behavior, Elsevier, vol. 76(2), pages 582-595.
  108. Schlee, Edward E. & Ali Khan, M., 2023. "Money-metrics in local welfare analysis: Pareto improvements and equity considerations," Journal of Economic Theory, Elsevier, vol. 213(C).
  109. Rose-Anne Dana & Cuong Le Van, 2014. "Efficient allocations and Equilibria with short-selling and Incomplete Preferences," Post-Print halshs-01020646, HAL.
  110. 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.
  111. Rinaldi, Francesca, 2009. "Endogenous incompleteness of financial markets: The role of ambiguity and ambiguity aversion," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 880-901, December.
  112. Alós-Ferrer, Carlos & Mihm, Maximilian, 2023. "An Axiomatic Characterization of Bayesian Updating," Journal of Mathematical Economics, Elsevier, vol. 104(C).
  113. Chakravarty, Surajeet & Kelsey, David, 2015. "Sharing ambiguous risks," Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 1-8.
  114. Karni, Edi & Maccheroni, Fabio & Marinacci, Massimo, 2015. "Ambiguity and Nonexpected Utility," Handbook of Game Theory with Economic Applications,, Elsevier.
  115. Eric Danan, 2010. "Randomization vs. Selection: How to Choose in the Absence of Preference?," Management Science, INFORMS, vol. 56(3), pages 503-518, March.
  116. Chandranath Amarasekara & Bernard Njindan Iyke & Paresh Kumar Narayan, 2022. "The role of R&D and economic policy uncertainty in Sri Lanka’s economic growth," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-19, December.
  117. Leonardo Pejsachowicz, 2016. "Stochastic Independence under Knightian Uncertainty," Post-Print hal-01753323, HAL.
  118. Baucells, Manel & Shapley, Lloyd S., 2008. "Multiperson utility," Games and Economic Behavior, Elsevier, vol. 62(2), pages 329-347, March.
  119. Hye-Jin Cho, 2016. "Speculative Bubble Burst," Post-Print halshs-01306093, HAL.
  120. Matteo Burzoni & Frank Riedel & H. Mete Soner, 2021. "Viability and Arbitrage Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 89(3), pages 1207-1234, May.
  121. Gao, Feng & Song, Fengming & Zhang, Lihong, 2007. "Coherent risk measure, equilibrium and equilibrium pricing," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 85-94, January.
  122. Martin Cincibuch & Matrina Horníková, 2008. "Measuring the Financial Markets’ Perception of EMU Enlargement: The Role of Ambiguity Aversion," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(05-06), pages 210-230, August.
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