Asset prices with locally constrained-entropy recursive multiple-priors utility

DOI10.1016/j.jedc.2008.03.002zbMath1181.91149OpenAlexW2122784564MaRDI QIDQ2654421

Fabio Trojani, Alessandro Sbuelz

Publication date: 19 January 2010

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.03.002

zbMATH Keywords

asset pricinggeneral equilibriummodel misspecificationrecursive multiple-priors utilitylocally constrained entropy

Mathematics Subject Classification ID

General equilibrium theory (91B50) Special types of economic markets (including Cournot, Bertrand) (91B54)

Related Items (4)

Ambiguity in asset pricing and portfolio choice: a review of the literature ⋮ Dynamic portfolio choice under ambiguity and regime switching mean returns ⋮ Minimum Rényi entropy portfolios ⋮ Robust consumption and portfolio policies when asset prices can jump

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
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• Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Eliciting von Neumann-Morgenstern Utilities When Probabilities Are Distorted or Unknown
• Robustness and Ambiguity Aversion in General Equilibrium *
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Ambiguity, Risk, and Asset Returns in Continuous Time
• A note on robustness in Merton's model of intertemporal consumption and portfolio choice

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