Download or read book Ambiguity and Asset Markets written by Larry G. Epstein and published by . This book was released on 2010 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Ellsberg paradox suggests that people behave differently in risky situations -- when they are given objective probabilities -- than in ambiguous situations when they are not told the odds (as is typical in financial markets). Such behavior is inconsistent with subjective expected utility theory (SEU), the standard model of choice under uncertainty in financial economics. This article reviews models of ambiguity aversion. It shows that such models -- in particular, the multiple-priors model of Gilboa and Schmeidler -- have implications for portfolio choice and asset pricing that are very different from those of SEU and that help to explain otherwise puzzling features of the data.

Download or read book Does Ambiguity Aversion Survive in Experimental Asset Markets written by Sascha Füllbrunn and published by . This book was released on 2014 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although a number of theoretical studies explain empirical puzzles in finance with ambiguity aversion, it is not a given that individual ambiguity attitudes survive in markets. In fact, despite ample evidence of ambiguity aversion in individual decision making, most studies find no or only limited ambiguity aversion in experimental financial markets, even when they exclude arbitrage. We argue that ambiguity effects in markets depend on market feedback and on a sufficiently strong bias toward ambiguity among the participants. Accordingly, we find significant ambiguity effects in low-feedback call markets for assets that provoke high ambiguity aversion, but no ambiguity effects in high-feedback double auctions.

Download or read book Reaction to Public Information in Asset Markets written by Brice Corgnet and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Cognitive Biases Ambiguity Aversion and Asset Pricing in Financial Markets written by Elena Asparouhova and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Ambiguity Information Acquisition and Price Swings in Asset Markets written by Antonio Mele and published by . This book was released on 2009 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On Booms that Never Bust written by Brice Corgnet and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Liquidity and Ambiguity written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Ambiguity Aversion and Incompleteness of Financial Markets written by Sujoy Mukerji and published by . This book was released on 2000 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Changes in Ambiguity Aversion in Financial Markets During Booms written by Tomas Hozik and published by . This book was released on 2010 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Uncertainty in Economic Theory written by Itzhak Gilboa and published by Taylor & Francis. This book was released on 2004-08-02 with total page 577 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume brings together important papers, coupled with new introductions, in the massively influential area of uncertainty in economic theory. Seminal papers are available together for the first time in book format, with new introductions and under the steely editorship of Itzhak Gilboa - this book is a useful reference tool for economists all over the globe.

Download or read book Index Investing and Asset Pricing Under Information Asymmetry and Ambiguity Aversion written by David Hirshleifer and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Ambiguity aversion alone does not explain the market nonparticipation puzzle. We show that in a rational expectations equilibrium model with a fund offering the risk-adjusted market portfolio (RAMP), ambiguity averse investors hold the fund and an information-based portfolio, and thus participate in all asset markets, directly or indirectly. This result follows from a new separation theorem which states that an investor's equilibrium portfolio can be decomposed into components, each matching the optimal portfolio based on only one information source (price versus private signal). Asset risk premia satisfy the CAPM with the fund as the pricing portfolio.

Download or read book Ambiguity Aversion and Heterogeneity in Financial Markets an Empirical and Theoretical Perspective written by B. Pataracchia and published by . This book was released on 2013 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Rumors in Financial Markets written by Mark Schindler and published by John Wiley & Sons. This book was released on 2007-04-04 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: On the trading floor, all action is based on news, therefore rumors in financial markets are an everyday phenomenon. Rumors are the oldest mass medium in the world and their nature is still difficult to grasp. Scientifically, not much is known about rumors, especially in the financial markets, where their consequences can have real money consequences. Rumors in Financial Markets provides a fresh insight to the topic, combining the theory of Behavioral Finance with that of Experimental Finance--a new and innovative scientific method which observes real decision makers in a controlled, clearly structured environment. Using the results from surveys and experiments, the author argues that rumors in the context of financial markets are built on three cornerstones: Finance, Psychology and Sociology. The book provides insights into how rumors evolve, spread and are traded on and provides explanations as to why volatility rockets, strong price movements, herding behavior for example, occur for apparently no good reason.

Download or read book Risk Ambiguity and Decision written by Daniel Ellsberg and published by Routledge. This book was released on 2015-07-03 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ellsberg elaborates on "Risk, Ambiguity, and the Savage Axioms" and mounts a powerful challenge to the dominant theory of rational decision in this book.

Download or read book The Role of Ambiguity in Financial Markets written by Ha Yan So and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Affective Decision Making Under Uncertainty written by Donald J. Brown and published by Springer Nature. This book was released on 2020-12-18 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an exploration of the ubiquity of ambiguity in decision-making under uncertainty. It presents various essays on behavioral economics and behavioral finance that draw on the theory of Black Swans (Taleb 2010), which argues for a distinction between unprecedented events in our past and unpredictable events in our future. The defining property of Black Swan random events is that they are unpredictable, i.e., highly unlikely random events. In this text, Mandelbrot’s (1972) operational definition of risky random unpredictable events is extended to Black Swan assets – assets for which the cumulative probability distribution or conditional probability distribution of random future asset returns is a power distribution. Ambiguous assets are assets for which the uncertainties of future returns are not risks. Consequently, there are two disjoint classes of Black Swan assets: Risky Black Swan assets and Ambiguous Black Swan assets, a new class of ambiguous assets with unpredictable random future outcomes. The text is divided into two parts, the first of which focuses on affective moods, introduces affective utility functions and discusses the ambiguity of Black Swans. The second part, which shifts the spotlight to affective equilibrium in asset markets, features chapters on affective portfolio analysis and Walrasian and Gorman Polar Form Equilibrium Inequalities. In order to gain the most from the book, readers should have completed the standard introductory graduate courses on microeconomics, behavioral finance, and convex optimization. The book is intended for advanced undergraduates, graduate students and post docs specializing in economic theory, experimental economics, finance, mathematics, computer science or data analysis.

Download or read book The Role of Ambiguity in Financial Markets written by Raymond So and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: