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...
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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...
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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.
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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...
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