Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations

DOI10.1016/j.jedc.2014.09.039zbMath1402.91396OpenAlexW3121742259MaRDI QIDQ1623985

Mauricio Prado, Irasema Alonso

Publication date: 15 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2014.09.039

zbMATH Keywords

ambiguity aversionequity premiumconsumption fluctuations

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Welfare economics (91B15)

Related Items

Welfare implications of mitigating investment uncertainty

Cites Work

• Recursive multiple-priors.
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• Risk, Ambiguity, and the Savage Axioms
• Subjective Probability and Expected Utility without Additivity
• Asset Prices in an Exchange Economy
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• Ambiguity and the historical equity premium
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Robustness
• Ambiguity, Risk, and Asset Returns in Continuous Time