Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty

DOI10.1007/s11579-013-0103-zzbMath1290.91059OpenAlexW2164764535MaRDI QIDQ367371

Costis Skiadas

Publication date: 13 September 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-013-0103-z

zbMATH Keywords

ambiguity aversionportfolio theoryrecursive utilityKnightian uncertaintyasset pricing theory

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

Related Items

Dynamic choice with constant source-dependent relative risk aversion ⋮ Asset prices in an ambiguous economy

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