Ambiguity, asset prices, and excess volatility in a pure-exchange economy

DOI10.1080/14697688.2013.822536zbMath1294.91057OpenAlexW2124972196MaRDI QIDQ2879037

Weidong Xu, Chongfeng Wu, Wei-Lin Xiao

Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.822536

Mathematics Subject Classification ID

Decision theory (91B06) Financial applications of other theories (91G80)

Cites Work

• A two-person dynamic equilibrium under ambiguity
• Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy
• Recursive smooth ambiguity preferences
• Maxmin expected utility with non-unique prior
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Effects of financial innovations on market volatility when beliefs are heterogeneous
• Intertemporal asset pricing with heterogeneous beliefs
• IID: Independently and indistinguishably distributed.
• A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
• Ambiguity, Learning, and Asset Returns
• Risk, Ambiguity, and the Savage Axioms
• Intertemporal substitution and recursive smooth ambiguity preferences
• Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
• Asset Prices in an Exchange Economy
• Intertemporal Asset Pricing under Knightian Uncertainty
• Robust Permanent Income and Pricing
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Minimax Theorems

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