메뉴 건너뛰기




Volumn 20, Issue 1-2, 2010, Pages 105-135

A simple model of trading and pricing risky assets under ambiguity: Any lessons for policy-makers?

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL CRISIS; FINANCIAL MARKET; FINANCIAL POLICY; FINANCIAL SYSTEM; INVESTMENT; NUMERICAL MODEL; POLICY MAKING; RISK ASSESSMENT;

EID: 72149089596     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603100903262939     Document Type: Article
Times cited : (12)

References (33)
  • 1
    • 0001248680 scopus 로고
    • Le comportement de l'homme rationnel devant le risque: Critique des postulats et axiomes de l'ecole Americaine
    • Allais, M. (1953) Le comportement de l'homme rationnel devant le risque: critique des postulats et axiomes de l'ecole Americaine, Econometrica, 21, 503-46.
    • (1953) Econometrica , vol.21 , pp. 503-546
    • Allais, M.1
  • 3
    • 77957229403 scopus 로고    scopus 로고
    • A review of financial market events in autumn 1998
    • Bank of International Settlements (BIS), Basel, Switzerland
    • Bank of International Settlements (BIS) (1999) A review of financial market events in autumn 1998, Committee on the Global Financial System, Basel, Switzerland.
    • (1999) Committee On the Global Financial System
  • 5
    • 38849149633 scopus 로고    scopus 로고
    • Subprime: Tentacles of a crisis
    • Dodd, R. (2007) Subprime: tentacles of a crisis, Finance and Development, 44, 15-19.
    • (2007) Finance and Development , vol.44 , pp. 15-19
    • Dodd, R.1
  • 6
    • 0000672689 scopus 로고
    • Uncertainty aversion, risk aversion and the optimal choice of portfolio
    • Dow, J. and Werlang, S. (1992) Uncertainty aversion, risk aversion and the optimal choice of portfolio, Econometrica, 60, 197-204.
    • (1992) Econometrica , vol.60 , pp. 197-204
    • Dow, J.1    Werlang, S.2
  • 9
    • 84957363402 scopus 로고
    • Risk, ambiguity and the savage axioms
    • Ellsberg, D. (1961) Risk, ambiguity and the savage axioms, Quarterly Journal of Economics, 75, 643-69.
    • (1961) Quarterly Journal of Economics , vol.75 , pp. 643-669
    • Ellsberg, D.1
  • 10
    • 38149027568 scopus 로고    scopus 로고
    • Ambiguity, information quality, and asset pricing
    • Epstein, L. and Schneider, M. (2008) Ambiguity, information quality, and asset pricing, Journal of Finance, 63, 197-228.
    • (2008) Journal of Finance , vol.63 , pp. 197-228
    • Epstein, L.1    Schneider, M.2
  • 11
    • 0000206041 scopus 로고
    • Intertemporal asset pricing under Knightian uncertainty
    • Epstein, L. G. and Wang, T. (1994) Intertemporal asset pricing under Knightian uncertainty, Econometrica, 62,283-322.
    • (1994) Econometrica , vol.62 , pp. 283-322
    • Epstein, L.G.1    Wang, T.2
  • 14
    • 65249129627 scopus 로고    scopus 로고
    • Working Paper, Yale School of Management
    • Gorton, G. (2008) The panic of 2007, Working Paper, Yale School of Management.
    • (2008) The Panic of 2007
    • Gorton, G.1
  • 17
    • 65249168313 scopus 로고    scopus 로고
    • Tumbling tower of Babel: Subprime securitization and the credit crisis
    • Jacobs, B. (2009) Tumbling tower of Babel: subprime securitization and the credit crisis, Financial Analyst Journal, 65, 17-30.
    • (2009) Financial Analyst Journal , vol.65 , pp. 17-30
    • Jacobs, B.1
  • 19
    • 72149095079 scopus 로고    scopus 로고
    • A crisis of confidence... and a lot more
    • Kodres, L. (2008) A crisis of confidence... and a lot more, Finance and Development, 45, 9-13.
    • (2008) Finance and Development , vol.45 , pp. 9-13
    • Kodres, L.1
  • 20
    • 33750564062 scopus 로고    scopus 로고
    • Ambiguity aversion, robustness and the variational representation of preferences
    • Maccheroni, F., Marinacci, M. and Rustichini, A. (2006) Ambiguity aversion, robustness and the variational representation of preferences, Econometrica, 74, 1447-98.
    • (2006) Econometrica , vol.74 , pp. 1447-1498
    • Maccheroni, F.1    Marinacci, M.2    Rustichini, A.3
  • 22
    • 53349116572 scopus 로고    scopus 로고
    • The credit crunch of 2007-2008: A discussion of the background, market reactions, and policy responses
    • Mizen, P. (2008) The credit crunch of 2007-2008: a discussion of the background, market reactions, and policy responses, Federal Reserve Bank of St. Louis Review, 90,531-68.
    • (2008) Federal Reserve Bank of St. Louis Review , vol.90 , pp. 531-568
    • Mizen, P.1
  • 23
    • 0035652414 scopus 로고    scopus 로고
    • Ambiguity aversion and incompleteness of financial markets
    • Mukerji, S. and Tallon, J. (2001) Ambiguity aversion and incompleteness of financial markets, Review of Economic Studies, 68, 883-904.
    • (2001) Review of Economic Studies , vol.68 , pp. 883-904
    • Mukerji, S.1    Tallon, J.2
  • 25
    • 67650330864 scopus 로고    scopus 로고
    • Systematic liquidity, characteristic liquidity and asset pricing
    • Nguyen, D. and Puri, T. (2009) Systematic liquidity, characteristic liquidity and asset pricing, Applied Financial Economics, 19, 853-68.
    • (2009) Applied Financial Economics , vol.19 , pp. 853-868
    • Nguyen, D.1    Puri, T.2
  • 28
    • 58849154990 scopus 로고    scopus 로고
    • Regime changes in sub-prime margins under the US Housing Bubble
    • Sarmiento, C. (2009) Regime changes in sub-prime margins under the US Housing Bubble, Applied Financial Economics, 19, 175-82.
    • (2009) Applied Financial Economics , vol.19 , pp. 175-182
    • Sarmiento, C.1
  • 30
    • 0001333688 scopus 로고
    • Subjective probability and expected utility without additivity
    • Schmeidler, D. (1989) Subjective probability and expected utility without additivity, Econometrica, 57, 571-87.
    • (1989) Econometrica , vol.57 , pp. 571-587
    • Schmeidler, D.1
  • 31
    • 33847232572 scopus 로고    scopus 로고
    • Contagion in emerging markets: The Russian crisis
    • Sojli, E. (2007) Contagion in emerging markets: the Russian crisis, Applied Financial Economics, 17, 197-213.
    • (2007) Applied Financial Economics , vol.17 , pp. 197-213
    • Sojli, E.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.