Dynamic market participation and endogenous information aggregation
type: Item
instance of: scholarly article
title: Dynamic market participation and endogenous information aggregation
zbMATH Open document ID: 1422.91819
author: Edison G. Yu
published in: Journal of Economic Theory
publication date: 2018-05-29T00:00:00Z
full work available at URL: wp13-42.pdf
Mathematics Subject Classification ID: 91G99
Mathematics Subject Classification ID: 91B44
zbMATH DE Number: 6875949
zbMATH Keywords: ambiguity aversion
zbMATH Keywords: uncertainty
zbMATH Keywords: Knightian uncertainty
zbMATH Keywords: information revelation
MaRDI profile type: Publication
OpenAlex ID: W3125475306
cites work: A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
cites work: Estimating ambiguity aversion in a portfolio choice experiment
cites work: Generic Existence of Completely Revealing Equilibria for Economies with Uncertainty when Prices Convey Information
cites work: A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
cites work: Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle
cites work: Ambiguity and Rational Expectations Equilibria
cites work: Informational efficiency with ambiguous information
cites work: Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
cites work: Portfolio Selection with Transaction Costs
cites work: Intertemporal asset pricing with heterogeneous beliefs
cites work: Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
cites work: Transactions costs and portfolio choice in a discrete-continuous-time setting
cites work: Recursive multiple-priors.
cites work: Learning Under Ambiguity
cites work: Investment Strategies under Transaction Costs: The Finite Horizon Case
cites work: Maxmin expected utility with non-unique prior
cites work: On the aggregation of information in competitive markets
cites work: Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy
cites work: Asset Pricing in Economies with Frictions
cites work: OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
cites work: Liquidity and asset prices in rational expectations equilibrium with ambiguous information
cites work: Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
DOI: 10.1016/J.JET.2018.02.002
description: scientific article; zbMATH DE number 6875949