Essays on ambiguity and asset pricing

Diplôme Thèse Essays on ambiguity and asset pricing eng 2012-06-15 author Gindrat Ronald 634055 director Gibson Brandon Rajna Nicole 21951 director Lefoll Jean 22831 10.13097/archive-ouverte/unige:21658 urn:nbn:ch:unige-216583 SES 781 The main objective of this thesis is to develop a smooth preferences structure under ambiguity that allows to represent an ambiguity averse behavior also in a context of continuous-time uncertainty. This is not achieved by prior smooth, ambiguity sensitive preferences models. The devised preferences structure is then used in two applications. First, I analyze the optimal portfolio choice, and its pricing consequences, for an ambiguity averse investor. It is shown that trading behaviors and pricing implications that are at odds with the traditional finance theory can be explained by ambiguity aversion. Second, I study the survival chances of ambiguity averse agents in a competitive economy. Under some conditions, smooth ambiguity averse agents can also survive when competing with the most rational agents, i.e. expected utility maximizers. Ambiguity Continuous-time Finance Economics of Uncertainty Market Selection Portfolio Choice Dewey 332/658 Dewey 330/650 9 Faculté d'économie et de management S false 4577f937-d411-40e1-8c36-3756876e5ecb Thesis Private these_SES_RonaldGindrat_ENGLISH.pdf 1597677 application/pdf 4a22fdf473e5d328ffa6c61980c1cb8165461948594bc850a35c10a7780f09f9 closedAccess Faculté d'économie et de management

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Gindrat, Ronald