Exotic Preferences for Macroeconomists

By David K. Backus, Bryan R. Routledge, Stanley E. Zin. NBER macroeconomics annual, 2004

199 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4e94e365998eaae609400b1908d509a69a06c91c

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Citations in the corpus

The ostrich effect: Selective attention to information (2009, unknown): “In contrast, earlier models with similar psychological considerations (e.g., Backus, Routledge and Zin 2004; Barberis, Huang and Santos 2001) have only been tested with price data.”
Risk, Uncertainty, and Option Exercise (2011, unknown): “Our paper contributes to the literature on applications of decision theory to macroeconomics and finance surveyed recently by Backus et al. (2004). The idea of ambiguity aversion and the multiple-priors utility model have been applied to asset pricing and portfolio choice problems in a number of pap”
Ambiguity, Learning, and Asset Returns (2009, background): “We have benefitted from comments from seminar participants in Boston University, Georgetown University, Nanyang Technological University, National University of Singapore, Rutgers, Singapore Management University, SUNY, UC at Santa Barbara, University of Hong Kong, University of Virginia, Zhongshan ”
An Empirical Portfolio Perspective on Option Pricing Anomalies (2007, background): “Finally, as shown by Backus et al. (2004), disappointment aversion can also be viewed as a class of preferences that distorts probabilities.”
Asset Pricing in a Production Economy with Chew-Dekel Preferences (2007, unknown): “In particular, we refer to the work of Eberly (1997), who took advantage of the Global Vantage dataset, and Barnett and Sakellaris (1998) and Abel and Eberly (2002), who worked with Compustat data.”
Applying regret theory to investment choices: Currency hedging decisions (2008, background): “Backus, Routledge and Zin (2005) show that the risk premia for small risks around the”
Fear and Market Failure: Global Imbalances and ¿Self-Insurance¿ (2007, unknown): “The first is that current account imbalances may reflect international differences in growth rates, as suggested by Backus et al. (2006); the second that, with no growth differentials, imbalances may reflect capital market constraints, as in Caballero et al.”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “Following the constraint approach (4), and assuming the agent is able to derive only a reference joint normal distribution of asset returns, f̂ ∼  (μ̂Σ), the set of priors (̂f) is”
Recursive smooth ambiguity preferences (2009, methodology): “We present an example adapted from one in the section on dynamic ambiguity in the excellent survey paper by Backus, Routledge, and Zin (2004) along with an example looking at the implications for asset prices.”