Patrick Beissner

Bielefeld University - Center for Mathematical Economics

Postfach 10 01 31

Bielefeld, D-33501

Germany

SCHOLARLY PAPERS

5

DOWNLOADS

506

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Dynamically Consistent α-Maxmin Expected Utility

Center for Mathematical Economics Working Paper No. 535
Number of pages: 25 Posted: 11 Feb 2015 Last Revised: 29 Feb 2016
Patrick Beissner, Qian Lin and Frank Riedel
Bielefeld University - Center for Mathematical Economics, Bielefeld University - Center for Mathematical Economics and Bielefeld University - Center for Mathematical Economics
Downloads 156 (206,663)
Citation 1

Abstract:

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Dynamic consistency, α maxmin expected utility, Knightian uncertaint, ambiguity attitude

2.

Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty

Institute of Mathematical Economics Working Paper No. 527
Number of pages: 29 Posted: 25 Sep 2014 Last Revised: 08 Nov 2014
Frank Riedel and Patrick Beissner
Bielefeld University - Center for Mathematical Economics and Bielefeld University - Center for Mathematical Economics
Downloads 118 (257,523)
Citation 1

Abstract:

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Knightian Uncertainty, Ambiguity, General Equilibrium, Asset Pricing, Radner Equilibrium

3.

Radner Equilibria Under Ambiguous Volatility

Institute of Mathematical Economics Working Paper No. 493
Number of pages: 48 Posted: 13 Dec 2013
Patrick Beissner
Bielefeld University - Center for Mathematical Economics
Downloads 102 (285,155)

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Knightian uncertainty, variational preferences, general equilibrium, mutually singular priors, dynamic consistency, volatility uncertainty, excess utility map, gross substitutes, risk adjusted priors, sublinear-expectation, Radner implementation, incomplete markets

4.

Coherent Price Systems and Uncertainty-Neutral Valuation

Institute of Mathematical Economics Working Paper No. 464
Number of pages: 41 Posted: 22 Mar 2012 Last Revised: 03 Dec 2013
Patrick Beissner
Bielefeld University - Center for Mathematical Economics
Downloads 101 (287,012)
Citation 5

Abstract:

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mutually singular priors, uncertain volatility, sublinear expectation, viability of sublinear price systems, arbitrage, equivalent symmetric martingale measures set (EsMM set), symmetric martingales, Girsanov for G-Brownian motion

5.

Brownian Equilibria under Knightian Uncertainty

Institute of Mathematical Economics Working Paper No. 447
Number of pages: 21 Posted: 20 Mar 2012 Last Revised: 03 Dec 2013
Patrick Beissner
Bielefeld University - Center for Mathematical Economics
Downloads 29 (513,486)
Citation 2

Abstract:

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generalized stochastic diff erential utility, super-gradients, properness, general equilibrium, Knightian uncertainty, generic existence, asset pricing