Ambiguity, Learning, and Asset Returns

By Nengjiu Ju, Jianjun Miao. 2009

425 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6dd6e810ff28d0f4ef91028150506581a6bac6cb

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Citations in the corpus

Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, positive): “Ju and Miao (2012) work with the recursive functional Vt (c)=W (ct , t (Vt+1(c))) t (·)≡υ−1 ( ∫ ℘xt υ ( U−1 ∫ U (·)dp ) dqt (p) ) , (22) where xt is the realization of a hidden state x at time t . x follows a K -state Markov chain, and each of the realizations can be interpreted as a possible state…”
Risk Preferences and the Macroeconomic Announcement Premium (2018, neutral): “We refer the readers to Epstein and Schneider (2010) for a review of asset pricing studies with the maxmin expected utility model; Ju and Miao (2012) for an application of the smooth ambiguity-averse preference; Hansen and Sargent (2008) for the robust control preference; Routledge and Zin (2010)…”
On Welfare Frameworks and Catastrophic Climate Risks (2013, background): “To get a feel for the numbers involved here, assume that ξ = 10, a roughly plausible estimate (Ju and Miao, 2009; Gollier and Gierlinger, 2008).”
Expected Utility with Uncertain Probabilities Theory (2017, positive): “EUUP employs the axiomatic foundations proposed by Kopylov (2010) and Wakker (2010) for modeling ambiguity and risk preferences. It relies upon the CEU of Schmeidler (1989), whose axiomatic foundation paved the way for modeling decision making under ambiguity. Schmeidler (1989), in his pioneering st”
Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle (2012, background): “Among recent studies see Chinn and Frankel (2002), Gourinchas and Tornell (2004), Chinn and Meredith (2005), Verdelhan (2008) and Burnside et al. (2008). (2)Under covered interest rate parity the interest rate differential equals the forward discount. The UIP puzzle can then be restated as the obser”
Risk, Uncertainty, and Expected Returns (2011, neutral): “, Bollerslev, Engle, and Wooldridge (1988), Ghysels, Santa-Clara, and Valkanov (2005), Guo and Whitelaw (2006), Guo and Savickas (2006), Lundblad (2007), Bali (2008), and Bali and Engle (2010)).”
Recursive smooth ambiguity preferences (2009, background): “The example draws heavily on the recent work of Ju and Miao (2007) who apply our model.”
Ambiguity and Asset Markets (2010, methodology): “One obtains This is closely related to the recursive version of the smooth ambiguity model described in Klibanoff et al. (2009) and the specifications in the applied papers by Chen et al. (2009) and Ju & Miao (2009).”