Robustness and Ambiguity Aversion in General Equilibrium *

DOI10.1023/B:EUFI.0000035193.29969.40zbMath1106.91349OpenAlexW1979061340MaRDI QIDQ4672035

Paolo Vanini, Fabio Trojani

Publication date: 29 April 2005

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:eufi.0000035193.29969.40

zbMATH Keywords

perturbation theoryambiguitymodel misspecificationrobust decision makingknightian uncertaintyfinancial equilibria

Mathematics Subject Classification ID

Related Items (14)

Option implied ambiguity and its information content: evidence from the subprime crisis ⋮ Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity ⋮ Dynamic derivative strategies with stochastic interest rates and model uncertainty ⋮ Asset prices with locally constrained-entropy recursive multiple-priors utility ⋮ Ambiguity in asset pricing and portfolio choice: a review of the literature ⋮ Robust consumption-investment problem on infinite horizon ⋮ Dynamic portfolio choice under ambiguity and regime switching mean returns ⋮ Fear of the Market or Fear of the Competitor? Ambiguity in a Real Options Game ⋮ The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices ⋮ A closed-form solution for options with ambiguity about stochastic volatility ⋮ Equilibrium impact of value-at-risk regulation ⋮ Robust consumption and portfolio policies when asset prices can jump ⋮ Incomplete information equilibria: separation theorems and other myths ⋮ Ambiguity sensitive preferences in Ellsberg frameworks

This page was built for publication: Robustness and Ambiguity Aversion in General Equilibrium *