Ambiguity, risk, and asset returns, in continuous time

Econometrica

Volumn 70, Issue 4, 2002, Pages 1403-1443

  Chen, Zengjing ^a   Epstein, Larry ^b  

^a SHANDONG UNIVERSITY   (China)

^b UNIVERSITY OF ROCHESTER   (United States)

Author keywords

Ambiguity; Asset pricing; Backward stochastic differential equations; Continuous time; Recursive utility

Indexed keywords

DIFFERENTIAL EQUATIONS; MATHEMATICAL MODELS; PROBABILITY; RANDOM PROCESSES; RISK ASSESSMENT;

ASSET PRICING;

ECONOMICS;

EID: 0036077604     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00337     Document Type: Article

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