Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10010241594
This paper examines if (and how) continuous-time trading renders dynamically-complete a financial market in which the underlying risk process is a Brownian motion and the securities pay dividends that are proportional to geometric Brownian motions. A sufficient condition, that the instantaneous...
Persistent link: https://www.econbiz.de/10011185963
This paper studies the pricing implications of the sole ambiguity aversion, in a Lucas’ tree economy where asset returns are ambiguous. Abstracting from a specific functional form, we disentangle the model-specific effect from the effect of ambiguity aversion. In addition, we allow the...
Persistent link: https://www.econbiz.de/10010736703
We show that the introduction in a power utility function of a confidence index to sig- nal the state of the world allows for an otherwise standard asset pricing model to match the observed consumption growth volatility and excess returns with a reasonable level of relative risk aversion. Our...
Persistent link: https://www.econbiz.de/10010941706
This paper axiomatizes an intertemporal version of the Smooth Ambiguity decision model developed in Klibanoff, Marinacci, and Mukerji (2005). A key feature of the model is that it achieves a separation between ambiguity, identified as a characteristic of the decision maker's subjective beliefs,...
Persistent link: https://www.econbiz.de/10005181140
We introduce and axiomatize dynamic variational preferences, the dynamic version of the variational preferences we axiomatized in [21], which generalize the multiple priors preferences of Gilboa and Schmeidler [9], and include the Multiplier Preferences inspired by robust control and first used...
Persistent link: https://www.econbiz.de/10005094065