Search Results - subject:"Recursive multiple priors"

Recursive maxmin preferences and rectangular priors : a simple proof

Amarante, Massimiliano; Siniscalchi, Marciano - In: Economic theory bulletin 7 (2019) 1, pp. 125-129

Persistent link: https://www.econbiz.de/10012108639

Ambiguity, Risk and Portfolio Choice under Incomplete Information

Miao, Jianjun - In: Annals of Economics and Finance 10 (2009) 2, pp. 257-279

there is a distinction between ambiguity and risk. The latter distinction is afforded by adoption of recursive multiple-priors …

Persistent link: https://www.econbiz.de/10010554861

Optimal Consumption and Portfolio Choice under Ambiguity for a Mean-reverting Risk Premium in Complete Markets

Liu, Hening - In: Annals of Economics and Finance 14 (2013) 1, pp. 21-52

are represented by the recursive multiple priors utility model developed by Chen and Epstein (2002). The investor …

Persistent link: https://www.econbiz.de/10010819323

Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity

Condie, Scott - In: Economic Theory 36 (2008) 1, pp. 81-108

Persistent link: https://www.econbiz.de/10005371118

Intertemporal substitution, risk aversion and ambiguity aversion

Hayashi, Takashi - In: Economic Theory 25 (2005) 4, pp. 933-956

This paper axiomatizes a form of recursive utility on consumption processes that permits a role for ambiguity as well as risk. The model has two prominent special cases: (i) the recursive model of risk preference due to Kreps and Porteus [18]; and (ii) an intertemporal version of multiple-priors...

Persistent link: https://www.econbiz.de/10005370906

Ambiguity, Risk and Portfolio Choice under Incomplete Information

Miao, Jianjun - Department of Economics, Boston University

there is a distinction between ambiguity and risk. The latter distinction is afforded by adoption of recursive multiple-priors …

Persistent link: https://www.econbiz.de/10008545849