Essays in Financial Economics
Chapter 1 introduces novel preference formulations which capture aversion to ambiguity about unknown and potentially time-varying volatility. These preferences are compared with Gilboa and Schmeidler's maxmin expected utility as well as variational formulations of ambiguity aversion. The impact...
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| Format: | Thesis |
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Massachusetts Institute of Technology
2022
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| Online Access: | https://hdl.handle.net/1721.1/139128 https://orcid.org/0000-0001-6351-0540 |