Ambiguity, Risk, and Asset Returns in Continuous Time

• 1 July 2002
• journal article
• Published by The Econometric Society in Econometrica
• Vol. 70  (4) , 1403-1443
• https://doi.org/10.1111/1468-0262.00337

Abstract

Keywords

• AMBIGUITY
• ASSET PRICING
• BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
• RECURSIVE UTILITY
• CONTINUOUS–TIME

All Related Versions

• Version 1, 2000-01-01, RePEc (Unconfirmed version)