Recursive smooth ambiguity preferences
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In this article, the authors axiomatize an intertemporal version of the Smooth Ambiguity decision model developed in [P. Klibanoff, M. Marinacci, S. Mukerji, 2005].About:
This article is published in Journal of Economic Theory.The article was published on 2009-05-01 and is currently open access. It has received 261 citations till now. The article focuses on the topics: Ambiguity & Ambiguity aversion.read more
Citations
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Book ChapterDOI
Ambiguity and the Bayesian Paradigm
Itzhak Gilboa,Massimo Marinacci +1 more
TL;DR: A survey of recent decision-theoretic literature involving beliefs that cannot be quantified by a Bayesian prior is given in this paper, where historical, philosophical, and axiomatic foundations of the Bayesian model are discussed as well as several alternative models recently proposed.
Journal ArticleDOI
Ambiguity in Asset Markets: Theory and Experiment
TL;DR: This article studied the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in competitive financial markets, and found that attitudes toward ambiguity are heterogeneous across the population, just as attitudes toward risk are heterogeneities across the populations, but that heterogeneity of attitudes towards ambiguity has different implications than heterogeneity of attitude toward risk, and that investors who are sufficiently ambiguity averse find open sets of prices for which they refuse to hold an ambiguous portfolio.
Journal ArticleDOI
Ambiguity and Asset Markets
TL;DR: In this article, the authors review models of ambiguity aversion and show that such models have implications for portfolio choice and asset pricing that are very different from those of SEU and that help to explain otherwise puzzling features of the data.
Journal ArticleDOI
Decision theory under ambiguity
TL;DR: In this article, the authors present a review of recent advances in the field of decision making under uncertainty or ambiguity, and present a general approach to a decision problem under uncertainty, as well as the'standard' Bayesian treatment and issues with this treatment.
Journal ArticleDOI
Ambiguity, Learning, and Asset Returns ⁄
Nengjiu Ju,Jianjun Miao +1 more
TL;DR: In this paper, a consumption-based asset-pricing model was developed in which the representative agent is ambiguous about the hidden state in consumption growth. And the model can match the flrst moments of the equity premium and risk free rate found in the data.
References
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Asset prices in an exchange economy
TL;DR: In this article, the authors examine the stochastic behavior of equilibrium asset prices in a one-good, pure exchange economy with identical consumers, and derive a functional equation for price as a function of the physical state of the economy.
Journal ArticleDOI
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
Larry G. Epstein,Stanley E. Zin +1 more
TL;DR: In this paper, a class of recursive, but not necessarily expected utility, preferences over intertemporal consumption lotteries is developed, which allows risk attitudes to be disentangled from the degree of inter-temporal substitutability, leading to a model of asset returns in which appropriate versions of both the atemporal CAPM and the inter-time consumption-CAPM are nested as special cases.