Asset pricing under smooth ambiguity in continuous time

DOI10.1007/S00199-022-01441-5zbMath1500.91142OpenAlexW4283721828MaRDI QIDQ2088605

Jianjun Miao, Lars Peter Hansen

Publication date: 6 October 2022

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-022-01441-5

zbMATH Keywords

robustnessasset pricingriskambiguitycontinuous timeportfolio allocation

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items (1)

Introduction to the special issue in honor of Larry Epstein

Cites Work

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