A Two-Person Dynamic Equilibrium under Ambiguity

By Larry G. Epstein, Jianjun Miao. 2003

273 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d7a31c3cce1dda2b559f0ef04d6c32e23ed4ecc5

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In Economics and Econometrics

Citations in the corpus

The Worst Case for Real Options (2010, methodology): “The framework of our paper follows the ambiguity aversion definition by Epstein and coauthors [5, 17], which is recently used by [22] in the context of pricing options.”
Ambiguity and Asset Markets (2010, background): “These authors use detection error probabilities in the context of multiplier preference, but the idea has come to be used also to constrain the belief set in MP.”
Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis (2010, unknown): “Our …ndings on the portfolio selection problem share some features with the ones of Epstein and Miao (2003), Taboga (2005), Boyle, Garlappi, Uppal and Wang (2012), and Gollier (2011).”
Fear of the Unknown: Familiarity and Economic Decisions (2007, result): “Our paper differs in several ways from previous studies relating ambiguity aversion and model uncertainty to underdiversification and home bias (e.g., Dow and Werlang, 1992; Uppal and Wang, 2003; Epstein and Miao, 2003; Cao, Wang, and Zhang, 2005).”
Learning Under Ambiguity (2007, unknown): “Multiple-priors applications typically employ a constant set of one-step-ahead probabilities (Epstein and Miao [14], Routledge and Zin [33]).”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “where " v∗  v∗  # = − 1 Ψ( ) Φ−1 " ∇ +∇ ∇ # (68)”
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2004, unknown): “Multiple-priors applications typically employ a constant set of one-step-ahead probabilities (Epstein and Miao, 2003; Routledge and Zin, 2001).”
Model Uncertainty, Limited Market Participation and Asset Prices (2005, background): “In other words, investors believe the mean of factor fA and fB fall into the set {(μA + vA, μB + vB) : vA and vB satisfy (17) and (18), respectively}.”
Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursiv (2003, unknown): “A closely related two-person equilibrium parametric example (with no domestic constraints) is given by Epstein and Miao (2000).”
Risk, Uncertainty, and Option Exercise (2011, unknown): “We refer readers to Epstein and Schneider (2003) for further discussion on these two approaches.”
A Smooth Model of Decision Making under Ambiguity (2005, unknown): “Epstein and Miao (2003) generates home-bias in a heterogeneous agent dynamic multiple priors setting.”
Ambiguity in Asset Markets: Theory and Experiment (2010, background): “4 Epstein and Miao (2003) study an environment in which agents are equally ambiguity averse but have different information and hence do not agree on which states are ambiguous.”
Ambiguity, Learning, and Asset Returns (2009, methodology): “2See Cao et al. (2005), Chen and Epstein (2002), Epstein and Miao (2003), Epstein and Wang (1994), Garlappi et al. (2007), and Routledge and Zin (2001) for asset pricing applications of the multiple-priors utility model.”
Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification (2009, unknown): “…choice with only a single risky asset in a robust-control setting is addressed in Maenhout (2004); the case of multiple risky assets in a dynamic setting in which investors are averse to ambiguity is considered in Chen and Epstein (2002), Epstein and Miao (2003), and Uppal and Wang (2003).”