Ambiguity, risk, and asset returns in continuous time

By Zengjing Chen, Larry G. Epstein. 2000

1,147 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/89443995ecd23060c964117119a40f58aa804aa1

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Citations in the corpus

Optimal Stopping With Multiple Priors (2009, methodology): “Our model is the discrete time version of the κ–ignorance model in Epstein and Chen (2002).”
Robust Portfolio Choice with Uncertainty About Jump and Diffusion Risk (2013, neutral): “Epstein and Wang (1994) extend their model to an intertemporal infinite-horizon.”
Ambiguity and Asset Markets (2010, methodology): “Duffie & Epstein (1992) introduced these into utility theory in the risk context, and Chen & Epstein (2002) extended them to ambiguity aversion (modeled by MP).”
Acknowledging Misspecification in Macroeconomic Theory (2001, methodology): “Convinced by the Ellsberg paradox and inspired by Gilboa and Schmeidler’s formulation, Epstein and Wang (1994), Epstein and Melino (1995), and Chen and Epstein (1998) have constructed dynamic models in which agents are adverse to model ambiguity.”
Backward stochastic Volterra integral equations and some related problems (2006, neutral): “Some other relevant results can be found in [ 4,14,21] and references cited therein.”
Risk, Uncertainty, and Option Exercise (2011, positive): “Nishimura and Ozaki (2007) apply the continuous-time multiple-priors utility model developed by Chen and Epstein (2002) to study an irreversible investment problem.”
A dynamic maximum principle for the optimization of recursive utilities under constraints (2001, background): “…be generalized quite naturally by considering a driver of the form (in the case of a one-dimensional Brownian motion) f c y z = u c − βy− γ z where γ is a positive constant which can be interpreted as a risk-aversion coefficient or an ambiguity aversion coefficient [see Chen and Epstein (1999)].”
G -Expectation, G -Brownian Motion and Related Stochastic Calculus of Itô Type (2006, neutral): “Since then many results have been obtained in this subject (see, among others, [3], [4], [5], [6], [10], [11], [7], [8], [22], [23], [34], [38], [39], [41], [43], [24]).”
Risk Preferences Around the World (2015, background): “• Rieger and Wang (2012) show that ambiguity aversion, as measured in our INTRA data, can explain parts of cross-country variations in the historical equity premium, as has been suggested by Chen and Epstein (2002) and Gollier (2011).”