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Dynamic Asset Pricing with α-MEU Model

https://doi.org/10.2139/ssrn.5339859
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Ambiguity Attitudes
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Myopia and Inconsistency in Dynamic Utility Maximization
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Competitive equilibrium when preferences change over time
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Time-inconsistent preferences in a general equilibrium model
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Non-existence of competitive equilibria with dynamically inconsistent preferences
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On time-inconsistent stochastic control in continuous time
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Asset prices in segmented and integrated markets
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Investment under ambiguity with the best and worst in mind
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Asset pricing with consumption-dividend cointegration
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The equity premium: A puzzle
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Risk aversion and asset prices
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Maxmin expected utility with non-unique prior
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Optimal reinsurance under the α-maxmin mean-variance criterion
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Asset pricing in a Lucas fruit-tree economy with the best and worst in mind
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Alpha-robust mean-variance reinsurance-investment strategy
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Differentiating ambiguity and ambiguity attitude
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Efficiency and equilibrium when preferences are time-inconsistent
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Choice under uncertainty with the best and worst in mind: Neo-additive capacities
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A dynamic equilibrium model of imperfectly integrated financial markets
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A life-cycle model with ambiguous survival beliefs
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Ambiguous Partially Observable Markov Decision Processes: Structural Results and Applications
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Strength of preference over complementary pairs axiomatizes alpha-MEU preferences
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Corporate earnings and the equity premium
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Dynamic liquidity in endowment economies
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Risk, uncertainty, and asset prices
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Habit formation, the cross section of stock returns and the cash-flow risk puzzle
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Ambiguity aversion and household portfolio choice puzzles: Empirical evidence
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Life-Cycle Asset Allocation with Ambiguity Aversion and Learning
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A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility
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Invariant Distributions for Singular Stochastic Differential Equations
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By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
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Subjective Discounting in an Exchange Economy
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Understanding Predictability
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Asset Pricing with Stochastic Differential Utility
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Labor Income and Predictable Stock Returns
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Ambiguity in Asset Markets: Theory and Experiment
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Revisiting Asset Pricing Puzzles in an Exchange Economy
inferredcites →https://doi.org/10.1093/rfs/hhs065openalex-snapshot
Generalized Transform Analysis of Affine Processes and Applications in Finance
inferredcites →https://doi.org/10.1093/rof/rfae032openalex-snapshot
Optimal investment and equilibrium pricing under ambiguity
inferredcites →https://doi.org/10.1093/rof/rfv019openalex-snapshot
Corporate Fraction and the Equilibrium Term Structure of Equity Risk
inferredcites →https://doi.org/10.1111/1468-0262.00303openalex-snapshot
Probabilistic Sophistication and Multiple Priors
inferredcites →https://doi.org/10.1111/1468-0262.00337openalex-snapshot
Ambiguity, Risk, and Asset Returns in Continuous Time
inferredcites →https://doi.org/10.1111/j.1467-937x.2007.00431.xopenalex-snapshot
Preferences Over Sets of Lotteries1
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A Smooth Model of Decision Making under Ambiguity
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00637.xopenalex-snapshot
Option‐Implied Risk Aversion Estimates
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01770.xopenalex-snapshot
Financial Flexibility, Bank Capital Flows, and Asset Prices
inferredcites →https://doi.org/10.1111/jofi.13098openalex-snapshot
Stock Market and No‐Dividend Stocks
inferredcites →https://doi.org/10.1111/mafi.12232openalex-snapshot
Dynamically consistent alpha‐maxmin expected utility
inferredcites →https://doi.org/10.1137/18m1178542openalex-snapshot
Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization
inferredcites →https://doi.org/10.1287/mnsc.2015.2198openalex-snapshot
Ambiguity Attitudes in a Large Representative Sample
inferredcites →https://doi.org/10.1287/mnsc.2023.03551openalex-snapshot
Dynamic Portfolio Selection and Asset Pricing Under Neo-Additive Probability Weighting
inferredcites →https://doi.org/10.1287/mnsc.2023.03595openalex-snapshot
Market Ambiguity Attitude Restores the Risk-Return Trade-Off
inferredcites →https://doi.org/10.1287/mnsc.47.12.1712.10239openalex-snapshot
What Determines the Shape of the Probability Weighting Function Under Uncertainty?
inferredcites →https://doi.org/10.1287/moor.2023.0076openalex-snapshot
Optimal Investment Strategy for α-Robust Utility Maximization Problem
inferredcites →https://doi.org/10.2139/ssrn.1424604openalex-snapshot
Investment under Ambiguity and Regime-Switching Environment
inferredcites →https://doi.org/10.2139/ssrn.1785321openalex-snapshot
Life-Cycle Asset Allocation with Ambiguity Aversion and Learning
inferredcites →https://doi.org/10.2139/ssrn.1853534openalex-snapshot
Time-Inconsistent Preferences in a General Equilibrium Model
inferredcites →https://doi.org/10.2139/ssrn.1973376openalex-snapshot
Portfolio Home Bias and External Habit Formation
inferredcites →https://doi.org/10.2139/ssrn.3898027openalex-snapshot
Two Investors, Two Trees, Two Goods
inferredcites →https://doi.org/10.2139/ssrn.395600openalex-snapshot
A Smooth Model of Decision Making Under Ambiguity
inferredcites →https://doi.org/10.2139/ssrn.3970575openalex-snapshot
Optimal Investment and Equilibrium Pricing under Ambiguity
inferredcites →https://doi.org/10.2139/ssrn.4536747openalex-snapshot
Market Ambiguity Attitude Restores the Risk-Return Tradeoff
inferredcites →https://doi.org/10.2307/1884324openalex-snapshot
Risk, Ambiguity, and the Savage Axioms
inferredcites →https://doi.org/10.2307/1911053openalex-snapshot
Subjective Probability and Expected Utility without Additivity
inferredcites →https://doi.org/10.2307/2289894openalex-snapshot
Brownian Motion and Stochastic Calculus.
inferredcites →https://doi.org/10.2307/2295722openalex-snapshot
Myopia and Inconsistency in Dynamic Utility Maximization
inferredcites →https://doi.org/10.3386/w0456openalex-snapshot
Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?
inferredcites →https://doi.org/10.3386/w16906openalex-snapshot
Generalized Transform Analysis of Affine Processes and Applications in Finance
inferredcites →https://doi.org/10.3386/w4995openalex-snapshot
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.3982/ecta8446openalex-snapshot
The Lucas Orchard
inferredcites →https://doi.org/10.3982/te5060openalex-snapshot
Optimal allocations with α‐MaxMin utilities, Choquet expected utilities, and prospect theory
inferredcites →https://doi.org/10.4324/9780203358061-10openalex-snapshot
Subjective probability and expected utility without additivity
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Being serious about non-commitment: subgame perfect equilibrium in continuous time
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