Nothing Special   »   [go: up one dir, main page]
create a website
Rational expectations and ambiguity: A comment on Abel (2002). (2006). Zimper, Alexander.
In: Economics Bulletin.
RePEc:ebl:ecbull:v:4:y:2006:i:2:p:1-15.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 32

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Robust Equilibrium Yield Curves. (2007). Vincent, Nicolas ; Kleshchelski, Isaac .
    In: Cahiers de recherche.
    RePEc:iea:carech:0802.

    Full description at Econpapers || Download paper

  2. Investment behavior under ambiguity: The case of pessimistic decision makers. (2006). Zimper, Alexander ; Ludwig, Alexander.
    In: Mathematical Social Sciences.
    RePEc:eee:matsoc:v:52:y:2006:i:2:p:111-130.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Abdellaoui, M., Vossmann, F., and M. Weber (2004), Choice-based Elicitation and Decomposition of Decision Weights for Gains and Losses under Uncertainty, mimeo Abel, A.B. (2002), An Exploration of the Effects of Pessimism and Doubt on Asset Returns, Journal of Economic Dynamics and Control 26, 1075-1092.
    Paper not yet in RePEc: Add citation now
  2. Allais, M. (1953), Le Comportement de l'Homme Rationnel devant le Risque: Critique des postulats et axiomes de l'Ecole Americaine, Econometrica 21, 503-546.
    Paper not yet in RePEc: Add citation now

  3. Anderson, E.W., Sargent, T.J., and L.P. Hansen (2003), A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection, Journal of the European Economic Association 1, 68-123.

  4. Anscombe, F.J., and R.J. Aumann (1986), Robust Bayesian Analysis with c-Contaminated Priors, Annals of Statistics 14, 461-486.
    Paper not yet in RePEc: Add citation now
  5. Berger, J., and L. Berliner (1986), A Definition of Subjective Probability, Annals of American Statistics 34, 199-205.
    Paper not yet in RePEc: Add citation now

  6. Chateauneuf, A., Eichberger, J., and S. Grant (2005), Choice under Uncertainty with the Best and Worst in Mind: Neo-additive Capacities, working paper (mimeo).

  7. Chen, Z., and L.G. Epstein (2002), Ambiguity, Risk and Asset Returns in Continuous Time, Econometrica 70, 1403-1443.

  8. Eichberger, J., and D. Kelsey (1999), E-Capacities and the Ellsberg Paradox, Theory and Decision 46, 107-140.

  9. Ellsberg, D. (1961), Risk, Ambiguity and the Savage Axioms, Quarterly Journal of Economics 75, 643-669.

  10. Epstein, L.G. (1999), A Definition of Uncertainty Aversion, Review of Economic Studies 66, 579-608.

  11. Ghirardato, P., and M. Marinacci (2002), Ambiguity Made Precise: A Comparative Foundation, Journal of Economic Theory 102, 25 1-289.

  12. Ghirardato, P., Klibanoff, P., and M. Marinacci (1998), Additivity with Multiple Priors, Journal of Mathematical Economics 30, 405-420.

  13. Ghirardato, P., Maccheroni, F., and M. Marinacci (2004), Differentiating Ambiguity and Ambiguity Attitude, Journal of Economic Theory 118, 133-173.

  14. Gilboa, I. (1987), Expected Utility with Purely Subjective Non-Additive Probabilities , Journal of Mathematical Economics 16, 65-88.

  15. Gilboa, I., and D. Schmeidler (1989), Maxmin Expected Utility with Non-Unique Priors, Journal of Mathematical Economics 18, 141-153.
    Paper not yet in RePEc: Add citation now

  16. Hansen, L.P., Sargent, T.J., and T.D. Tallarini, Jr. (1999), Robust Permanent Income and Pricing , The Review of Economic Studies 66, 873-907.

  17. Kilka, M., and M. Weber (2001), What determines the Shape of the Probability Weighting Function under Uncertainty, Management Science 47, 1712-1726.

  18. Mehra, R., and E.C. Prescott (1985), The Equity Premium: A Puzzle, Journal of Monetary Economics 15, 145-161.

  19. Quiggin, J.P. (1981), Risk Perception and Risk Aversion among Australian Farmers, Australian Journal of Agricultural Economics 25, 160-169.

  20. Quiggin, J.P. (1982), A Theory of Anticipated Utility, Journal of Economic Behavior and Organization 3, 323-343.

  21. Reprinted in English as part II in Allais, M., and 0. Hagen [eds.] (1979), Expected Utility Hypotheses and the Allais Paradox, D. Reidel: Dordrecht etc.
    Paper not yet in RePEc: Add citation now

  22. Sarin, R., and P.P. Wakker (1992), A Simple Axiomatization of Nonadditive Expected Utility, Econometrica 60, 1255-12 72.

  23. Savage, L.J. (1954), The Foundations of Statistics, John Wiley and & Sons, Inc.: New York, London, Sydney.
    Paper not yet in RePEc: Add citation now
  24. Schmeidler, D. (1986), Integral Representation without Additivity, Proceedings of the American Mathematical Society 97, 255-261.
    Paper not yet in RePEc: Add citation now

  25. Schmeidler, D. (1989), Subjective Probability and Expected Utility without Additivity , Econometrica 57, 571-587.

  26. Siniscalchi, M. (2005), A Behavioral Characterization of Plausible Priors, Journal of Economic Theory, forthcoming.
    Paper not yet in RePEc: Add citation now
  27. Tversky, A., and D. Kahneman (1992), Advances in Prospect Theory: Cumulative Representations of Uncertainty, Journal of Risk and Uncertainty 5, 297-323.
    Paper not yet in RePEc: Add citation now

  28. Tversky, A., and P.P. Wakker (1995), Risk Attitudes and Decision Weights, Econometrica 63, 1255-1280.

  29. Wakker, P.P, and A. Tversky (1993), An Axiomatization of Cumulative Prospect Theory, Journal of Risk and Uncertainty 7, 147-176.

  30. Wakker, P.P. (2001), Testing and Characterizing Properties of Nonadditive Measures through Violations of the Sure-Thing Principle, Econometrica 69, 1039-1059.

  31. Wakker, P.P. (2004), On the Composition of Risk Preference and Belief, Psychological Review 111, 236-241.
    Paper not yet in RePEc: Add citation now

  32. Weil, P. (1989), The Equity Premium Puzzle and the Riskfree Rate Puzzle, Journal of Monetary Economics 24, 401-42 1.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach. (2015). Tokpavi, Sessi ; Maillet, Bertrand ; Vaucher, Benoit .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:244:y:2015:i:1:p:289-299.

    Full description at Econpapers || Download paper

  2. Uncertain dynamics, correlation effects, and robust investment decisions. (2015). Flor, Christian ; Hesel, Soren .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:51:y:2015:i:c:p:278-298.

    Full description at Econpapers || Download paper

  3. Dynamic Asset Allocation with Ambiguous Return Predictability. (2014). Miao, Jianjun ; ju, nengjiu ; Chen, Hui.
    In: Review of Economic Dynamics.
    RePEc:red:issued:12-77.

    Full description at Econpapers || Download paper

  4. Instabilities and robust control in natural resource management. (2013). Xepapadeas, Anastasios ; Roseta-Palma, Catarina.
    In: Portuguese Economic Journal.
    RePEc:spr:portec:v:12:y:2013:i:3:p:161-180.

    Full description at Econpapers || Download paper

  5. Inflation ambiguity and the term structure of U.S. Government bonds. (2013). Ulrich, Maxim .
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:2:p:295-309.

    Full description at Econpapers || Download paper

  6. Robust portfolio choice with uncertainty about jump and diffusion risk. (2013). Larsen, Linda Sandris ; Branger, Nicole.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:5036-5047.

    Full description at Econpapers || Download paper

  7. Ambiguity shifts and the 2007–2008 financial crisis. (2012). Boyarchenko, Nina.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:59:y:2012:i:5:p:493-507.

    Full description at Econpapers || Download paper

  8. Three types of ambiguity. (2012). Sargent, Thomas ; Hansen, Lars ; ThomasJ. Sargent, .
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:59:y:2012:i:5:p:422-445.

    Full description at Econpapers || Download paper

  9. The market price of fiscal uncertainty. (2012). Schmid, Lukas ; Nguyen, Thien T. ; Croce, Mariano M..
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:59:y:2012:i:5:p:401-416.

    Full description at Econpapers || Download paper

  10. On model ambiguity and money neutrality. (2012). lioui, abraham ; Poncet, Patrice .
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:34:y:2012:i:4:p:1020-1033.

    Full description at Econpapers || Download paper

  11. Set coverage and robust policy. (2012). Onatski, Alexei ; Henry, Marc.
    In: Economics Letters.
    RePEc:eee:ecolet:v:115:y:2012:i:2:p:256-257.

    Full description at Econpapers || Download paper

  12. Small noise methods for risk-sensitive/robust economies. (2012). Sargent, Thomas ; Hansen, Lars ; Anderson, Evan ; ThomasJ. Sargent, .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:4:p:468-500.

    Full description at Econpapers || Download paper

  13. Dynamic portfolio choice under ambiguity and regime switching mean returns. (2011). Liu, Hening.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:4:p:623-640.

    Full description at Econpapers || Download paper

  14. Risk, uncertainty, and option exercise. (2011). Wang, Neng ; Miao, Jianjun.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:4:p:442-461.

    Full description at Econpapers || Download paper

  15. Robust general equilibrium under stochastic volatility model. (2010). Li, Hongyi ; Wu, Chongfeng ; Xu, Weidong.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:7:y:2010:i:4:p:224-231.

    Full description at Econpapers || Download paper

  16. Robust hidden Markov LQG problems. (2010). Sargent, Thomas ; Mayer, Ricardo ; Hansen, Lars.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:10:p:1951-1966.

    Full description at Econpapers || Download paper

  17. Ambiguity, Learning, and Asset Returns. (2010). Miao, Jianjun ; ju, nengjiu.
    In: CEMA Working Papers.
    RePEc:cuf:wpaper:438.

    Full description at Econpapers || Download paper

  18. The impact of risk and uncertainty on expected returns. (2009). Anderson, Evan ; Ghysels, Eric ; Juergens, Jennifer L..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:94:y:2009:i:2:p:233-263.

    Full description at Econpapers || Download paper

  19. Doubts or variability?. (2009). Sargent, Thomas ; Hansen, Lars ; Barillas, Francisco.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:144:y:2009:i:6:p:2388-2418.

    Full description at Econpapers || Download paper

  20. Methods for robust control. (2009). Söderström, Ulf ; Leitemo, Kai ; Dennis, Richard ; Soderstrom, Ulf .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:8:p:1604-1616.

    Full description at Econpapers || Download paper

  21. Ambiguity, Risk and Portfolio Choice under Incomplete Information. (2009). Miao, Jianjun.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2009:v:10:i:2:p:257-279.

    Full description at Econpapers || Download paper

  22. Modeling the Long Run: Valuation in Dynamic Stochastic Economies. (2008). Hansen, Lars.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14243.

    Full description at Econpapers || Download paper

  23. The market price of risk and the equity premium: A legacy of the Great Depression?. (2008). Sargent, Thomas ; Cogley, Timothy.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:55:y:2008:i:3:p:454-476.

    Full description at Econpapers || Download paper

  24. Robust Monetary Policy. (2008). Altar-Samuel, Adam .
    In: Advances in Economic and Financial Research - DOFIN Working Paper Series.
    RePEc:cab:wpaefr:21.

    Full description at Econpapers || Download paper

  25. Ambiguity Aversion and the Term Structure of Interest Rates. (2007). Trojani, Fabio ; Gagliardini, Patrick ; Porchia, Paolo .
    In: University of St. Gallen Department of Economics working paper series 2007.
    RePEc:usg:dp2007:2007-29.

    Full description at Econpapers || Download paper

  26. Beliefs, Doubts and Learning: Valuing Economic Risk. (2007). Hansen, Lars.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12948.

    Full description at Econpapers || Download paper

  27. Robust Equilibrium Yield Curves. (2007). Vincent, Nicolas ; Kleshchelski, Isaac .
    In: Cahiers de recherche.
    RePEc:iea:carech:0802.

    Full description at Econpapers || Download paper

  28. Long-term Risk: An Operator Approach. (2007). Hansen, Lars ; Sheinkman, Jose A.
    In: Levine's Bibliography.
    RePEc:cla:levrem:122247000000001669.

    Full description at Econpapers || Download paper

  29. The Dynamics of Mergers and Acquisitions in Oligopolistic Industries. (2007). Miao, Jianjun ; Hackbarth, Dirk ; Wang, Neng.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2007-017.

    Full description at Econpapers || Download paper

  30. Robustness and Information Processing. (2006). Kasa, Kenneth.
    In: Review of Economic Dynamics.
    RePEc:red:issued:v:9:y:2006:i:1:p:1-33.

    Full description at Econpapers || Download paper

  31. Long Term Risk: An Operator Approach. (2006). Scheinkman, Jose ; Hansen, Lars.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12650.

    Full description at Econpapers || Download paper

  32. Methods for Robust Control. (2006). Söderström, Ulf ; Leitemo, Kai ; Dennis, Richard.
    In: Working Papers.
    RePEc:igi:igierp:307.

    Full description at Econpapers || Download paper

  33. Methods for robust control. (2006). Söderström, Ulf ; Leitemo, Kai ; Dennis, Richard.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-10.

    Full description at Econpapers || Download paper

  34. Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium. (2006). Maenhout, Pascal J..
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:128:y:2006:i:1:p:136-163.

    Full description at Econpapers || Download paper

  35. Welfare-based monetary policy rules in an estimated DSGE model of the US economy. (2006). Pesenti, Paolo ; Juillard, Michel ; Karam, Philippe ; Laxton, Douglas.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006613.

    Full description at Econpapers || Download paper

  36. Rational expectations and ambiguity: A comment on Abel (2002). (2006). Zimper, Alexander.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:4:y:2006:i:2:p:1-15.

    Full description at Econpapers || Download paper

  37. Methods for Robust Control. (2006). Söderström, Ulf ; Leitemo, Kai ; Dennis, Richard.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5638.

    Full description at Econpapers || Download paper

  38. Portfolio Selection with Two-Stage Preferences. (2005). Taboga, Marco.
    In: Finance.
    RePEc:wpa:wuwpfi:0506009.

    Full description at Econpapers || Download paper

  39. Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.. (2005). Sargent, Thomas ; Cogley, Timothy.
    In: Review of Economic Dynamics.
    RePEc:red:issued:v:8:y:2005:i:2:p:262-302.

    Full description at Econpapers || Download paper

  40. C-CAPM without Ex Post Data. (2005). Söderlind, Paul.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0039.

    Full description at Econpapers || Download paper

  41. Robust estimation and control under commitment. (2005). Sargent, Thomas ; Hansen, Lars.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:124:y:2005:i:2:p:258-301.

    Full description at Econpapers || Download paper

  42. Hypothesis testing for diffusion processes with continuous observations: Direct computation of large deviation results for error probabilities. (2005). Govindaraj, Suresh .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:2:y:2005:i:4:p:234-247.

    Full description at Econpapers || Download paper

  43. Portfolio selection with two-stage preferences. (2005). Taboga, Marco.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:2:y:2005:i:3:p:152-164.

    Full description at Econpapers || Download paper

  44. Risk, uncertainty and option exercise. (2004). Miao, Jianjun.
    In: Finance.
    RePEc:wpa:wuwpfi:0410013.

    Full description at Econpapers || Download paper

  45. A Note on Consumption and Savings under Knightian Uncertainty. (2004). Miao, Jianjun.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2004:v:5:i:2:p:299-311.

    Full description at Econpapers || Download paper

  46. Risk, Uncertainty, and Option Exercise. (2004). Wang, Neng ; Miao, Jianjun.
    In: Boston University - Department of Economics - The Institute for Economic Development Working Papers Series.
    RePEc:bos:iedwpr:dp-136.

    Full description at Econpapers || Download paper

  47. Consumption and Saving under Knightian Uncertainty. (2003). Miao, Jianjun.
    In: Boston University - Department of Economics - The Institute for Economic Development Working Papers Series.
    RePEc:bos:iedwpr:dp-134.

    Full description at Econpapers || Download paper

  48. Ambiguity, Risk and Portfolio Choice under Incomplete Information. (2001). Miao, Jianjun.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2009-019.

    Full description at Econpapers || Download paper

  49. Dynamic Asset Allocation with Ambiguous Return Predictability. (2001). Miao, Jianjun ; ju, nengjiu ; Chen, Hui.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2009-015.

    Full description at Econpapers || Download paper

  50. Ambiguity, Learning, and Asset Returns. (2001). Miao, Jianjun ; ju, nengjiu.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2009-014.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-30 00:35:38 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.