Concept

Ambiguity aversion

Related publications (32)

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Essays on Equilibrium Asset Pricing

Rodolfo Javier Prieto Katunaric

This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...

EPFL2010

Risk Aversion and Equilibrium Optimal Portfolios in Large Markets

Semyon Malamud

We consider a simple continuous-time economy, populated by a large number of agents, more risk averse than the log agent, with hetero- geneous risk aversion densely covering an interval. Even though the dividend is a geometric Brownian motion, the equilibr ...

2009

Neural Correlates of Value, Risk, and Risk Aversion Contributing to Decision Making under Risk

Decision making under risk is central to human behavior. Economic decision theory suggests that value, risk, and risk aversion influence choice behavior. Although previous studies identified neural correlates of decision parameters, the contribution of the ...

2009

Toward a contingent resource-based view of nonmarket capabilities under regulatory uncertainty

Bastian Wolfgang Schwark

The article integrates theoretical perspectives from the resource-based view of the firm, dynamic capabilities and contingency. It explains one particular characteristic of the general business environment of the firm, regulatory uncertainty, and its influ ...

2009

Essays on individual decision making under uncertainty

Elise Le Nestour

This research project is an experimental study of decision-making in very difficult contexts resembling those encountered in financial markets. The starting point was the empirical observation that financial assets are objects of a very complex kind. Speci ...

EPFL2009

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange econ- omy when investors have three possible sources of heterogeneity. In- vestors may di§er in their beliefs, in their level of risk aversion and in their time preference rate. We study the impac ...

2009

Hyperstar: A multi-path Astar algorithm for risk averse vehicle navigation

The Astar algorithm, which forms the backbone of vehicle navigation systems, is capable of producing only one path. Given uncertainty about link travel times, there is interest in algorithms that can deliver all the paths that may be optimal, termed collec ...

Elsevier2009

Long Run Forward Rates and Long Yields of Bonds and Options in Heterogeneous Equilibria

Semyon Malamud

We prove that, in a heterogeneous economy with scale-invariant utilities, the yield of a long term bond is determined by the agent with maximal expected marginal utility. We also prove that the same result holds for the long term forward rates. Furthermore ...

2008

Risk Aversion in Laboratory Asset Markets

We review the use of behavior from television game shows to infer risk attitudes. These shows provide evidence when contestants are making decisions over very large stakes, and in a replicated, structured way. Inferences are generally confounded by the sub ...

JAI Press, Research in Experimental Economics2008

Universal Bounds for Asset Prices in Heterogeneous Economies

Semyon Malamud

We establish universal bounds for asset prices in heterogeneous complete market economies with scale invariant preferences. Namely, for each agent in the economy we consider an artiﬁcial homogeneous economy populated solely by this agent, and calculate the ...

2008