A. Bernardo and O. Ledoit. Gain, loss and asset pricing. Journal of Political Economy, 108: 144–172, 2000.
- Ales ˇCerny and Stewart Hodges. The theory of good-deal pricing in ï¬nancial markets. In H. Geman, D. Madan, S. R. Pliska, and T. Vorst, editors, Mathematical Finance: Selected proceedings of the First Bachelier Congress, Paris, 2000. Springer-Verlag, 2001. Zengjing Chen and Larry G. Epstein. Ambiguity, risk and asset returns in continuous time.
Paper not yet in RePEc: Add citation now
- Ales ˇCerny. Generalised Sharpe ratios and asset pricing in incomplete markets. European Finance Review, 7:191–233, 2003.
Paper not yet in RePEc: Add citation now
- Basel III. Basel III: A global regulatory framework for more resilient banks and banking systems. Basel Committee on Banking Supervision, December 2010.
Paper not yet in RePEc: Add citation now
- Daniel Ellsberg. Risk, Ambiguity and the Savage Axiom. Quarterly Journal of Economics, 75:643–669, 1961. Larry G. Epstein and Tan Wang. Intertemporal asset pricing under Knightian uncertainty.
Paper not yet in RePEc: Add citation now
Evan Anderson, Eric Ghysels, and Jennifer Juergens. The impact of risk and uncertainty on expected returns. Journal of Financial Economics, 94:233–263, 2009.
Evan Anderson, Lars Peter Hansen, and Thomas J. Sargent. A quartet of semigroups for model speciï¬cation, robustness, prices of risk and model detection. Journal of the European Economic Association, 1(1):68–123, 2003.
F. Maccheroni, M. Marinacci, and A. Rustichini. Ambiguity aversion, roubustness and the variational representation of preferences. Econometrica, 74(6):1447–1498, 2006.
Fisher Black and Myron Scholes. The pricing of options and corporate liabilities. Journal of Political Economy, 81:637–654, 1973.
Francisco Barillas, Lars Peter Hansen, and Thomas J. Sargent. Doubts or variability? Journal of Economic Theory, 144(6):2388–2418, 2009.
G. Huberman. Familiarity breeds investment. Review of Financial Studies, 14:659–680, 2001.
H. H. Cao, T. Wang, and H. H. Zhang. Model uncertainty, limited participation and asset prices. Review of Financial Studies, 18:1219–1251, 2005.
I. Cooper and E. Kaplanis. Home bias in equity portfolios, inflation hedging and international capital market equilibrium. Review of Financial Studies, 7:45–60, 1994.
- Itamar Drechsler. Uncertainty, Time-Varying Fear and Asset Prices. Journal of Finance, 2012.
Paper not yet in RePEc: Add citation now
J. Cvitanic, A. Lazrak, L. Martellini, and F. Zapatero. Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations. Review of Financial Studies, 19:1113–1156, 2011.
- John Cochrane and Jesus Saa-Requejo. Beyond arbitrage: “Good-Deal†pricing asset price bounds in incomplete markets. Journal of Political Economy, 108:79–119, 2000.
Paper not yet in RePEc: Add citation now
- John Cochrane. Asset Pricing. Princeton University Press, 2005.
Paper not yet in RePEc: Add citation now
John Cox and Chi–fu Huang. Optimal Consumption and Portfolio Policies when Asset Prices follow a Diffusion Process. Journal of Economic Theory, 49:33–83, 1989.
John Y. Campbell. Consumption-based asset pricing. In G.M. Constantinides, M. Harris and R. Stulz, editors, Handbook of the Economics of Finance, 2003. Elsevier Science, 2003.
Joshua Coval and Tobias Moskowitz. Home bias at home: Local equity preference in domestic portfolios. Journal of Finance, 54:2045–2073, 1999.
Jun Liu, Jun Pan, and Tan Wang. An equilibrium model of rare-event premia and its implication for option smirks. Review of Financial Studies, 18:131–164, 2005.
L. Garlappi, R. Uppal, and T. Wang. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach. Review of Financial Studies, 20:41–81, 2007. Itzhak Gilboa and David Schmeidler. Maxmin expected utility with non-unique priors.
Larry G. Epstein and Stanley E. Zin. Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica, 57:937–969, 1989.
Lars Peter Hansen and Ravi Jagannathan. Implications of security market data for models of dynamic economies. Journal of Political Economy, 99:225–262, 1991.
- Lars Peter Hansen and Thomas J. Sargent. Discounted linear exponential quadratic gaussian control. IEEE Trans. Autom. Control, 40:968–971, 1995.
Paper not yet in RePEc: Add citation now
Lars Peter Hansen and Thomas J. Sargent. Robust control and model uncertainty. American Economic Review, 91:60–66, 2001.
Lars Peter Hansen, Thomas J. Sargent, and Thomas D. Tallarini, Jr. Robust permanent income and pricing. Review of Economic Studies, 66:873–907, 1999.
Marco Cagetti, Lars Peter Hansen, Thomas J. Sargent, and Noah Williams. Robustness and pricing with uncertain growth. Review of Financial Studies, 15:363–404, 2002.
Markus Leippold, Fabio Trojani, and Paolo Vanini. Learning and asset prices under ambiguous information. Review of Financial Studies, 21:2565–2597, 2008.
Nina Boyarchenko. Ambiguity Shifts and the 2007–2008 Financial Crisis. Journal of Monetary Economics, 59(5):493–507, 2012.
P. Bossaerts, P. Ghirardato, S. Guarnaschelli, and W. Zame. Ambiguity in asset markets: Theory and experiment. Review of Financial Studies, 23:1325–1359, 2010.
- P. Boyle, L. Garlappi, R. Uppal, and T. Wang. Keynes meets Markowitz: The trade-off between familiarity and diversiï¬cation. Management Science, 58:253–272, 2012.
Paper not yet in RePEc: Add citation now
P. Boyle, S. Feng, W. Tian, and T. Wang. Robust Stochastic Discount Factors. Review of Financial Studies, 21(3):1077–1122, 2008.
Pascal J. Maenhout. Robust portfolio rules and asset pricing. Review of Financial Studies, 17:951–983, 2004.
Peter Carr, K. Ellis, and V. Gupta. Static hedging of exotic options. Journal of Finance, 53 (3):1165–1190, 1998.
Rajnish Mehra and Edward C. Prescott. The equity premium: A puzzle. Journal of Monetary Economics, 15(2):145–162, 1985.
- Raman Uppal and Tan Wang. Model misspeciï¬cation and under-diversiï¬cation. Journal of Finance, LIX:2465–2486, 2003.
Paper not yet in RePEc: Add citation now
Stephen Ross. The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13:341–360, 1976.
- Stewart Hodges. A generalization of the Sharpe ratio and its application to valuation bounds and risk measures. Working paper, University of Warwick Business School, United Kingdom, 1998.
Paper not yet in RePEc: Add citation now
- Stewart Hodges. Good deal bounds. In Rama Cont, editor, Encyclopedia of Quantitative Finance. Wiley, 2009.
Paper not yet in RePEc: Add citation now