Ambiguity in Asset Markets: Theory and Experiment

By Peter Bossaerts, Paolo Ghirardato, Serena Guarnaschelli, William R. Zame. 2010

381 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, General Decision Sciences

View Paper: https://www.semanticscholar.org/paper/ccd99fc3a15a1f27501211efa89b0f9c03538149

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Citations in the corpus

Climate finance and disclosure for institutional investors: why transparency is not enough (2019, background): “Several studies documented that generally investors are ambiguity averse (Ahn et al. 2014; Bossaerts et al. 2010); however, ambiguity aversion has not been tested yet in low-carbon investment decision-making, suggesting the importance to account for such investors’ biases in low-carbon investment…”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, positive): “MPP is a limiting case of (9): up to ordinal equivalence, MPP is obtained in the limit as the degree of concavity of  increases without bound.”
Ambiguity and Asset Markets (2010, result): “Bossaerts et al. (2010) and Ahn et al. (2009) provide experimental evidence that supports first-order effects of uncertainty in portfolio choice.”
Optimal reinsurance under risk and uncertainty (2015, neutral): “Interesting examples are, among many others, portfolio management (Zhu and M. Fukushima, 2009), equilibrium in asset markets (Bossaerts et al., 2010) and optimal stopping (Riedel, 2009).”
O Sole Mio An Experimental Analysis of Weather and Risk Attitudes (2013, methodology): “For example, an ambiguity aversion framework, such as the ones proposed by Halevy (2007) and Bossaerts et al. (2010), may provide an ideal laboratory to study the effect of weather on the cognitive evaluation process when the probability distribution of outcomes is not fully specified.”
Estimating Ambiguity Aversion in a Portfolio Choice Experiment (2009, background): “Bossaerts et al. (2010) pointed out that there is substantial heterogeneity in attitudes to ambiguity and that this heterogeneity has important effects on equilibrium prices and portfolio holdings.”
Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility (2018, background): “Moreover, experimental studies demonstrate that individual investors not only display aversion to risk but also display aversion to ambiguity (Ellsberg, 1961; Bossaerts et al., 2010).”
Robust Portfolio Choice with Uncertainty About Jump and Diffusion Risk (2013, neutral): “Ellsberg (1961) and Bossaerts et al. (2010).”
Scientific Ambiguity and Climate Policy (2013, background): “These are elegant models, and have found application in several areas of economics, especially finance (e.g. Dow and da Costa Werlang 1992; Bassett et al. 2004; Gollier 2009; Bossaerts et al. 2010).”