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...

Università della Svizzera italiana

Ambiguity aversion and the term structure of interest

Gagliardini, Patrick ; Porchia, Paolo ; Trojani, Fabio

In: The review of financial studies, 2009, vol. 22, no. 10, p. 4157-4188

This paper studies the term structure implications of a simple structural model in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk premium of affine yield curve models. The ambiguity premium can be large even in the simplest log-utility...

Università della Svizzera italiana

The Leontief model and economic theory

Marangoni, Giandemetrio

This article examines the relationship between classical, marginalist and Keynesian economics and the Leontief model and shows how the analysis of productive and distributional interdependencies may provide an appropriate conceptual framework for comparing the different analytical approaches.

Università della Svizzera italiana

Equilibrium asset pricing with time-varying pessimism

Sbuelz, Alessandro ; Trojani, Fabio

We present a flexible analytical framework that incorporates the equilibrium impact of a (possibly state dependent) sentiment for pessimism in continuous time intertemporal asset pricing. State dependent pessimism comes from a state dependent confidence in the reference belief on equity returns dynamics and implies conservative optimal policies precisely in states where such confidence is low. In...