Recursive multiple-priors

By Larry G. Epstein, Martin Schneider. Journal of Economics Theory, 2003

959 citations recorded by the source corpus.

Subfields: Economics and Econometrics, General Decision Sciences

View Paper: https://www.semanticscholar.org/paper/e216e3dfcaff710a7cc111dab321b98282e8a949

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Citations in the corpus

Dynamic variational preferences (2006, methodology): “We already mentioned Epstein and Schneider [6], which is in turn closely related to Wang [31].”
Robust control and model misspecification (2006, background): “This formulation sets the stage for our discussion in Section 9 of the dynamic consistency issues raised by Epstein and Schneider [11].”
Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle (2018, positive): “The multiple priors model was introduced by Gilboa and Schmeidler (1989); it was extended to intertemporal choice by Epstein and Wang (1994) and Epstein and Schneider (2003).”
Solution of macromodels with HansenSargent robust policies: some extensions (2002, neutral): “The differences between Hansen and Sargent robustness and Epstein’s ambiguity are discussed in Epstein and Schneider (2003). the risk between risk and uncertainty.”
Learning Under Ambiguity (2007, positive): “The analysis in [15] also clarifies the role of the set P in an intertemporal multiple-priors model.”
Robustness and Uncertainty Aversion (2002, methodology): “This device renders the constraint formulation recursive, but not dynamically consistent in the sense advocated by Epstein and Schneider (2001) .”
Ambiguity, Learning, and Asset Returns (2009, background): “(11) This utility function belongs to the class of the recursive multiple-priors model of Epstein and Wang (1994) and Epstein and Schneider (2003, 2007).”
Pollution Control with Uncertain Stock Dynamics: When, and How, to be Precautious (2012, background): “Lacking complex formal characterizations similar to Klibanoff et al. [21, 22] and Epstein and Schneider [5], the focus of Hansen-Sargent robustness project seems to be as much practical as it is theoretical, if not more.6 Finally, we should also note that Chen and Epstein [2] and Epstein and Schneid”
Smooth Ambiguity Aversion toward Small Risks and Continuous-Time Recursive Utility (2013, methodology): “Dynamic extensions of in expected utility were formulated by Epstein and Schneider ð2003Þ in discrete time hen and Epstein ð2002Þ in continuous time. for bearing aggregate market risk, given that aggregate consumption varies apparently too little to justify such a high premium.”
Ambiguity and Asset Markets (2010, methodology): “If one-step-ahead acts are evaluated by expected utility, then, from Equations 2.17 and 2.18, Epstein & Wang (1994) first put forth this model; Epstein & Schneider (2003, 2007, 2008) axiomatize and apply it.”
Revealed Ambiguity and Its Consequences: Updating (2008, methodology): “We next show that this leads to the characterization of the notion of rectangularity introduced by Epstein and Schneider (2003). Suppose that the class Π forms a finite partition of S; i.”
Robust utility maximization in a stochastic factor model (2006, methodology): “Already in standard utility maximization problems, this approach turned our to be very powerful as it provides an explicit characterization of optimal strategies in terms of the unique classical solution of a nonlinear PDE, which then can be solved numerically.”
Intertemporal Substitution and Risk Aversion (2007, methodology): “Following Epstein and Schneider (2003) we may constrain the family of probabilities period by period instead penalizing deviations.”
Conditional and dynamic convex risk measures (2005, background): “This property has been introduced, under the name of rectangularity, by Epstein and Schneider [11] in the context of multi-period utility and extensively studied by Artzner et al. [2] and Delbaen [8] in the context of risk measures, where a characterization as in Corollary 1 is derived.”
Updating Choquet Beliefs (2007, background): “Epstein and Schneider (2003) show it is possible to retain both if one restricts the domain of acts and conditioning events (or more”
Model Misspecification and Under-Diversification (2003, neutral): “The reader is referred to Epstein and Schneider (2001) and Hansen and Sargent (2001b,c) for this discussion.”