Financial Markets under Knightian Uncertainty

奈特不确定性下的金融市场

• 批准号: 265469372
• 负责人: Professor Dr. Frank Riedel
• 金额: --
• 依托单位: Center for Mathematical Economics
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2015
• 资助国家: 德国
• 起止时间: 2014-12-31 至 2018-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/265469372?language=en
• 关键词: Financial; Markets; under; Knightian; Uncertainty

In recent years, the issue of Knightian uncertainty (model uncertainty) has emerged as a major theme in financial economics and decision theory. A large and successful theory of decision making under Knightian uncertainty has been developed on the economic side, complemented by a rich literature on risk measures on the mathematical side. Both research strands emphasize the need to deal with sensitive modeling assumptions. The present project aims to develop the equilibrium theory of financial markets under such Knightian uncertainty, both in a "model--free" and a "multiple prior" framework. Conceptually, we aim to clarify the role of probabilistic assumptions in finance. In the multiple prior framework for continuous--time finance, major technical challenges emerge as one has to work with mutually singular probability measures that describe different "scenarios" under Knightian uncertainty. We will apply recent developments in stochastic calculus to general equilibrium theory and study existence and structural properties of complete and incomplete financial markets under Knightian uncertainty.

近年来，模型不确定性问题已成为金融经济学和决策理论的一个重要主题。在经济学方面，已经发展出了一个关于不确定性下的决策的大型成功理论，并辅之以数学方面关于风险度量的丰富文献。这两种研究都强调需要处理敏感的建模假设。本项目的目的是在"无模型"和"多重先验"的框架下，发展这种不确定性下的金融市场均衡理论。从概念上讲，我们的目标是澄清概率假设在金融中的作用。在连续时间金融的多重先验框架中，主要的技术挑战出现了，因为人们必须使用描述不同"情景"的相互奇异的概率度量来描述不确定性。我们将把随机微积分的最新发展应用到一般均衡理论中，并研究完全和不完全金融市场在不确定性下的存在性和结构性质。

项目成果

Dynamically consistent alpha‐maxmin expected utility

• DOI: 10.1111/mafi.12232
• 发表时间: 2019-11
• 期刊: Mathematical Finance
• 影响因子: 1.6
• 作者: Patrick Beissner;Qian Lin;F. Riedel

Equilibrium prices and trade under ambiguous volatility

• DOI: 10.1007/s00199-016-0979-y
• 发表时间: 2017-08
• 期刊: Economic Theory
• 影响因子: 1.3
• 作者: Patrick Beissner

Equilibria Under Knightian Price Uncertainty

奈特价格不确定性下的均衡

• DOI: 10.3982/ecta14934
• 发表时间: 2019
• 期刊: Econometrica
• 影响因子: 6.1
• 作者: P. Beissner;F. Riedel
• 通讯作者: F. Riedel

Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty

• DOI: 10.1007/s00780-018-0362-x
• 发表时间: 2018
• 期刊: Finance and Stochastics
• 影响因子: 1.7
• 作者: Patrick Beissner;F. Riedel