Robustness and ambiguity aversion in general equilibrium

Review of Finance

Volumn 8, Issue 2, 2004, Pages 279-324

  Trojani, Fabio ^a   Vanini, Paolo ^a  

^a UNIVERSITY OF LUGANO   (Switzerland)

Author keywords

ambiguity; financial equilibria; knightian uncertainty; model misspecification; perturbation theory; robust decision making

Indexed keywords

EID: 5444275807     PISSN: 15723097     EISSN: None     Source Type: Journal    
DOI: 10.1023/B:EUFI.0000035193.29969.40     Document Type: Article

References (34)

1. Anderson, E. W., Hansen, L. P., and Sargent, T. J. (1998) Risk and Robustness in General Equilibrium. Manuscript, University of Chicago.
2. Anderson, E. W., Hansen, L. P., and Sargent, T. J. (2003) Robustness, Detection and the Price of Risk. Manuscript, University of Chicago.
3. Chen, Z., and Epstein, L. G. (2002) Ambiguity, risk and asset returns in continuous time. Econometrica 70, 1403-1443.
4. Dow, J., and Werlang, R. (1992) Uncertainty aversion, risk aversion, and the optimal choice of portfolio. Econometrica 60, 197-204.
5. Dumas, B. (1989) Two-person dynamic equilibrium in capital markets. Review of Financial Studies 2, 157-188.
6. Ellsberg, D. (1961) Risk, ambiguity and the Savage axioms. Quarterly Journal of Economy 25, 643-669.
7. Epstein, L. G., and Miao, J. (2003) A two-person dynamic equilibrium under ambiguity. Journal of Economic Dynamics and Control 27, 1253-1288.
8. Epstein, L. G., and Schneider, M. (2003) Recursive multiple priors, Journal of Economic Theory 113, 32-50.
9. Epstein, L. G., and Wang, T. (1994) Intertemporal asset pricing under Knightian uncertainty, Econometrica 62, 283-322.
10. Gagliardini, P., Porchia, P., and Trojani, F. (2004) Ambiguity aversion, bond pricing and the non-robustness of some affine term structures, Working Paper, University of Lugano.
11. Gagliardini P., Urga, G., and Trojani, F. (2004) Robust GMM tests for structural breaks. Journal of Econometrica forthcoming.
12. Ghirardato, P., Maccheroni, F., and Marinacci, M. (2002) Ambiguity from the differential viewpoint, discussion Paper, ICER.
13. Gilboa, I. (1987) Expected utility theory with purely subjective non-additive probabilities. Journal of Mathematical Economics 16, 65-88.
14. Gilboa, I., and Schmeidler, D. (1989) Maxmin expected utility with non-unique prior, Journal of Mathematical Economics 18, 141-153.
15. Hansen, L. P., Sargent, T. J. (1999) and Tallarini, D. Jr., (1999) Robust permanent income and pricing. Review of Economic Studies 66, 873-907.
16. Hansen, L. P., Sargent, T. J. Turmuhambetova, G. A., and Williams, N. (2001) Robustness and uncertainty Aversion. Manuscript, University of Chicago.
17. Huber, P. (1981) Robust statistics, Wiley, New York.
18. Kim, T. S., and Omberg, E. (1996) Dynamic nonmyopic portfolio behaviour, Review of Financial Studies 9, 141-161.
19. Klibanoff, P., Marinacci, M. and Mukerji, S. (2003) A smooth model of decision making under ambiguity, Discussion Paper, ICER.
20. Kogan, L., and Uppal, R. (2000) Risk aversion and optimal policies in partial and general equilibrium economies, Working Paper, UBC.
21. Krishnakumar, J., and Ronchetti, E. (1997) Robust estimators for simultaneous equations models, Journal of Economics 78, 295-314.
22. Lei, C. I. (2001) Why don't investors have large positions in stocks? A robustness perspective, Manuscript, University of Chicago.
23. Liu, J., Pan, J., and Wang, T. (2002) An equilibrium model of rare events premia, Manuscript.
24. Maenhout, P. (2001) Robust portfolio rules, hedging and asset pricing, Working Paper, INSEAD.
25. Mancini, L., Ronchetti, E., and Trojani, F. (2003) Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models, Working Paper, University of Lugano.
26. Ortelli, C., and Trojani, F. (2004) Robust efficient method of moments, Journal of Econometrica forthcoming.
27. Ronchetti, E., and Trojani, F. (2001) Robust inference with GMM estimators, Journal of Econometrica 101, 37-69.
28. Sakata, S., and White, H. (1998) High breakdown point conditional dispersion estimation with application to S&P 500 daily returns volatility, Econometrica 66, 529-567.
29. Sbuelz, A., and Trojani, F. (2002) Equilibrium asset pricing with time varying pessimism, Working Paper, University of Lugano.
30. ∞ forecasting and asset pricing anomalies, Working Paper, NBER Working Paper Series.
31. Trojani, F., and Vanini, P. (2001) Perturbative solutions of Hamilton Jacobi Bellman equations in robust decision making, Working Paper, University of Lugano.
32. Trojani, F., and Vanini, P. (2002a) A note on robustness in Merton's model of intertemporal consumption and portfolio choice, Journal of Economic Dynamics and Control 26/3, p. 423-435.
33. Trojani, F., and Vanini, P. (2002b) A review of perturbative approaches for robust optimal portfolio problems. Computational Methods in Decision-Making, Economics and Finance, Kluwer Applied Optimization Series.
34. Uppal, R., and Wang, T. (2003) Model misspecification and under-diversification, Journal of Finance 58 (6), 2465-2486.