Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity

DOI10.1007/s00199-007-0264-1zbMath1151.91040OpenAlexW2062253235MaRDI QIDQ926235

Scott S. Condie

Publication date: 26 May 2008

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-007-0264-1

zbMATH Keywords

SurvivalAsset pricingAmbiguity aversionHeterogeneous investorsRecursive multiple priors

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Related Items (7)

Ambiguity sharing and the lack of relative performance evaluation ⋮ Ambiguity aversion in the long run: ``to disagree, we must also agree ⋮ Loss aversion, survival and asset prices ⋮ Survival with ambiguity ⋮ Long-run heterogeneity in an exchange economy with fixed-mix traders ⋮ Momentum and reversal in financial markets with persistent heterogeneity ⋮ Speculative trade under ambiguity

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