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A Two-Person Dynamic Equilibrium under Ambiguity

Epstein, Larry G.; Miao, JianJun - University of Rochester - Center for Economic Research … - 2001

This paper describes a pure-exchange, continuous-time economy with two heterogeneous agents and complete markets. A novel feature of the economy is that agents perceive some security returns as ambiguous in the sense often attributed to frank Knight. The equilibrium is described completely in...

Persistent link: https://www.econbiz.de/10005808127

Systemic Risk in the Financial Industry: Mimetism for the Best and for the Worst

Warin, Thierry; Prasch, Robert E. - Centre Interuniversitaire de Recherche en Analyse des … - 2013

traditional and widely-accepted mean-variance approach to the processing of information under conditions of risk while … of that work is valid, we also believe that too little has been done to meld modern portfolio theory (MPT) with insights …

Persistent link: https://www.econbiz.de/10011183686

Ambiguity, risk and asset returns in continuous time

Chen, Zengjing; Epstein, Larry G. - University of Rochester - Center for Economic Research … - 2000

premium for risk and a seperate premium for ambiguity. …

Persistent link: https://www.econbiz.de/10005503965

Optimal quality choice under uncertainty on market development

Tamini, Lota D. - Volkswirtschaftliche Fakultät, … - 2012

This paper analyzes the impact of risk and ambiguity aversion - Knightian uncertainty - on the choice of optimal … aversion while it is a non-monotonic function of the level of risk. For low levels of risk, the increase of product quality is … an efficient response. Up to certain threshold level of risk, risk and ambiguity aversion reduce the optimal quality …

Persistent link: https://www.econbiz.de/10011108902

A Bayesian model of Knightian uncertainty

Al-Najjar, Nabil; Weinstein, Jonathan - In: Theory and Decision 78 (2015) 1, pp. 1-22

A long tradition suggests a fundamental distinction between situations of risk, where true objective probabilities are …. Whether uncertainty reduces to ordinary risk depends on the agent’s ability to smooth consumption. Uncertainty can have a …

Persistent link: https://www.econbiz.de/10011154919

Deep and Shallow Uncertainty in Messaging Climate Change

Cooke, Roger M. - 2014

Deep and shallow uncertainty are defined and contrasted with regard to messaging the uncertainty about climate change. Deep uncertainty is often traced back to the writings of Frank Knight, where in fact it simply meant subjective probability. Although Knight envisioned a scientifically grounded...

Persistent link: https://www.econbiz.de/10010764912

Model Uncertainty, Ambiguity and the Precautionary Principle: Implications for Biodiversity Management

Vardas, Giannis; XEPAPADEAS, Anastasios - Volkswirtschaftliche Fakultät, … - 2008

characterizing ecosystems, might be a more appropriate framework relative to the classic risk case (measurable uncertainty). This …

Persistent link: https://www.econbiz.de/10005790301

Model Uncertainty, Ambiguity and the Precautionary Principle: Implications for Biodiversity Management

Vardas, Giannis; Xepapadeas, Anastasios - In: Environmental & Resource Economics 45 (2010) 3, pp. 379-404

Persistent link: https://www.econbiz.de/10008522399

Entrepreneurial Choice and Knightian Uncertainty with Borrowing Constraints

Adachi, Takanori; Asano, Takao - Institute of Economic Research, Kyoto University - 2011

between risk and ambiguity, we first show that ambiguity aversion makes it less likely that an individual will become an …

Persistent link: https://www.econbiz.de/10009385915

Knightian uncertainty and interbank lending

Pritsker, Matthew - In: Journal of Financial Intermediation 22 (2013) 1, pp. 85-105

Knightian Uncertainty is incomplete information on banks’ risk exposures. The main findings in the paper are: (1) When interbank …

Persistent link: https://www.econbiz.de/10010608437