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Asset Pricing Theory in Light of Ellsberg Paradox
SSRN Electronic Journal, 2011In 2008, Epstein and Schneider formulated a microstructure-inspired theory in which one could determine price volatility through a number of other market parameters such as asset volatility, risk free rate and dividend rate. A particular feature of the Epstein-Schneider theory is an extremely high price elasticity of the volatility of a risky stock ...
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Counterfactual Priors: A Bayesian Response to Ellsberg's Paradox
SSRN Electronic Journal, 2023Phoebe Koundouri +2 more
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Conditional Preferences, Ellsberg Paradoxes and the Sure Thing Principle
1997I consider a class of binary relations on a set of Anscombe-Aumann acts, each admitting a Choquet-expected utility representation, and propose a set of rationality postulates, centered on Myerson’s Subjective Substitution axiom, which characterize the given class as one of dynamically consistent, or coherent, conditional preferences. I show that, under
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On the Ellsberg Paradox and its Extension by Machina
SSRN Electronic Journal, 2015openaire +1 more source