Learning Under Ambiguity

By Larry G. Epstein, Martin Schneider. 2007

424 citations recorded by the source corpus.

Subfields: Finance, General Decision Sciences, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0b1b314c1e6d2b033c8ddacd424b83da86e5cff3

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Citations in the corpus

Uncertainty, Information Acquisition and Price Swings in Asset Markets (2015, background): “Epstein and Schneider (2007, 2008) are examples of learning models within this context, in which agents have theories of multiple likelihoods that link signals to true parameters.”
A Two-Person Dynamic Equilibrium under Ambiguity (2003, methodology): “The corresponding discrete-time model dates back to Epstein and Wang (1994) and has recently been axiomatized in Epstein and Schneider (2001). By interpreting the agents in our model as representative consumers in each of two countries, we use it to address two well-known home-bias puzzles.”
Ambiguity, Learning, and Asset Returns (2009, methodology): “In the max-min framework, Epstein and Schneider (2007) model learning under ambiguity using a set of priors and a set of likelihoods.”
Model Uncertainty, Limited Market Participation and Asset Prices (2005, background): “Specifically, the payoffs of stocks 1 and 2 are now given by ( r1 r2 ) = β ( fA fB ) + ( 1 2 ) , (18)”
Distributionally Robust Markov Decision Processes (2010, background): “Many efforts have been made to reduce such performance variation under the robust MDP framework (e.g., [5] [6] [7] [8] [9] [10]).”
Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle (2012, methodology): “This 6The structure of uncertainty that I investigate, namely signals of uncertain precision, is similar to Epstein and Schneider (2007, 2008).”
SYMMETRY OF EVIDENCE WITHOUT EVIDENCE OF SYMMETRY (2010, background): “In [16], those authors study the more general case dealt with here (unknown physical bias).”
Recursive multiple-priors (2003, background): “Under prior by prior Bayesian updating, one concludes that ð1; 0; 1Þg1;fR;Bgð0; 1; 1Þ and ð1; 0; 1ÞB1;fGgð0; 1; 1Þ; ð4:3Þ in contradiction to dynamic consistency.13 To clarify the connection to our theorem, note that P0 is not fFtg-rectangular (see Fig.”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, neutral): “ω = 1  ¡ σ(σ)0 ¢−1 3 μ̂ −  ι ́ − 1  ¡ (σ)0 ¢−1 θ + ¡ (σ)0 ¢−1 σ  (35)”
Ambiguous chance constrained problems and robust optimization (2006, positive): “This work was extended to a multiperiod setting by Hansen and Sargent [28] and Epstein and his co-authors [13, 21, 22].”
Ambiguous Information, Portfolio Inertia, and Excess Volatility (2011, background): “…stock prices can be distinguished from the effects of risk alone.4 It is well known that ambiguity aversion leads to portfolio inertia for the riskfree portfolio and thus helps explain non-market participation (Dow and Werlang (1992), Cao, Wang, and Zhang (2005), and Epstein and Schneider (2007)).”
Ambiguity and Nonparticipation: The Role of Regulation (2009, background): “Epstein and Schneider (2007) provide an interesting analysis of learning by ambiguity-averse agents.”
Modeling the Change of Paradigm: Non-Bayesian Reactions to Unexpected News † (2012, background): “…Gilboa and Schmeidler (1993); Epstein and Le Breton (1993); Epstein and Schneider (2003); Maccheroni, Marinacci, and Rustichini (2006); Siniscalchi (2011); Hanany and Klibanoff (2007); Ghirardato, Maccheroni, and Marinacci (2008); Hanany and Klibanoff (2009); and Epstein and Schneider (2007).”