Asset prices with locally constrained-entropy recursive multiple-priors utility
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Publication:2654421
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
asset pricinggeneral equilibriummodel misspecificationrecursive multiple-priors utilitylocally constrained entropy
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
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- 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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