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Welfare implications of mitigating investment uncertainty

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Publication:2063061
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DOI10.1007/s10436-021-00395-3zbMath1477.91051OpenAlexW3200249260MaRDI QIDQ2063061

Jun Sakamoto, Takayuki Ogawa

Publication date: 10 January 2022

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-021-00395-3


zbMATH Keywords

uncertaintyheterogeneous agentsambiguitywelfare effects


Mathematics Subject Classification ID

Heterogeneous agent models (91B69) Welfare economics (91B15) Financial markets (91G15)




Cites Work

  • A two-person dynamic equilibrium under ambiguity
  • Maxmin expected utility with non-unique prior
  • Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations
  • Uncertainty, risk-neutral measures and security price booms and crashes
  • Ambiguity in asset pricing and portfolio choice: a review of the literature
  • Subjective Probability and Expected Utility without Additivity
  • Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
  • Intertemporal Asset Pricing under Knightian Uncertainty
  • Uncertainty, Information Acquisition, and Price Swings in Asset Markets
  • Ambiguity, Risk, and Asset Returns in Continuous Time
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