Università della Svizzera italiana

Continuous-time asset pricing with ambiguity aversion

Porchia, Paolo ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2005 ; 2005ECO005.

This Thesis is structured in two Chapters, each aimed at contributing to the existing literature by exploring the effects of ambiguity aversion on two classical equilibrium asset pricing problems: the term structure of interest rates and two-agents equilibrium. In both cases, ambiguity aversion is modeled by means of a Max-Min expected utility representation that falls within the Recursive...