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Università della Svizzera italiana

Risk, robustness and knightian uncertainty in continuous-time, heterogenous agents, financial equilibria

Trojani, Fabio ; Vanini, Paolo

We analyze and compare analytically continuous-time financial equilibria where heterogeneous risk averse investors care about model misspecification through some preference for robustness and in the presence of a stochastic opportunity set. This incorporates a concern for model misspecification into equilibrium asset prices. Since no exact equilibrium computations are possible in this model...