Hening Liu

University of Manchester - Alliance Manchester Business School

Booth Street West

Manchester, M15 6PB

United Kingdom

SCHOLARLY PAPERS

10

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1,874

CITATIONS
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11

Scholarly Papers (10)

1.

Dynamic Portfolio Choice under Ambiguity and Regime Switching Mean Returns

Number of pages: 40 Posted: 26 Jul 2010 Last Revised: 15 Jan 2011
Hening Liu
University of Manchester - Alliance Manchester Business School
Downloads 393 (72,514)
Citation 4

Abstract:

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Hidden Markov model, Malliavin derivative, portfolio choice, recursive multiple priors

2.

Measuring Ambiguity Aversion

Number of pages: 47 Posted: 10 Oct 2014 Last Revised: 19 Dec 2017
Duke University - Fuqua School of Business, Economics Group, Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 321 (85,511)

Abstract:

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Ambiguity aversion, Bayesian estimation, Equity premium puzzle, Markov switching

3.

Ambiguity Aversion and Under-diversification

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 53 Posted: 25 Jan 2014 Last Revised: 27 Aug 2014
Massimo Guidolin and Hening Liu
Bocconi University - Department of Finance and University of Manchester - Alliance Manchester Business School
Downloads 293 (101,046)

Abstract:

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Ambiguity aversion, Bayesian portfolio analysis, CAPM, Smooth ambiguity

4.

Financial Uncertainty with Ambiguity and Learning

Number of pages: 51 Posted: 10 May 2015 Last Revised: 05 Jun 2018
Hening Liu and Yuzhao Zhang
University of Manchester - Alliance Manchester Business School and Rutgers, The State University of New Jersey - Department of Finance
Downloads 277 (107,326)

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Ambiguity, business cycle, Markov switching, production-based asset pricing, uncertainty, variance risk premium

5.

Ambiguity Aversion and Asset Prices in Production Economies

The Review of Financial Studies, Forthcoming
Number of pages: 47 Posted: 29 Feb 2012 Last Revised: 13 May 2014
Mohammad R. Jahan-Parvar and Hening Liu
Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 241 (123,924)
Citation 1

Abstract:

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Ambiguity aversion, Equity premium, Markov switching, Production economy, Smooth ambiguity

6.

Does Smooth Ambiguity Matter for Asset Pricing?

The Review of Financial Studies, Forthcoming
Number of pages: 65 Posted: 21 Dec 2017 Last Revised: 05 Oct 2018
Duke University - Fuqua School of Business, Economics Group, Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 104 (252,629)

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Ambiguity, Bayesian Estimation, Equity Premium, Markov-Switching, Long-Run Risk

7.

Robust Consumption and Portfolio Choice for Time Varying Investment Opportunities

Number of pages: 28 Posted: 10 Sep 2009 Last Revised: 02 Aug 2010
Hening Liu
University of Manchester - Alliance Manchester Business School
Downloads 95 (268,286)
Citation 6

Abstract:

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robust control, recursive preferences, portfolio choice

8.

Does Smooth Ambiguity Matter for Asset Pricing?

FRB International Finance Discussion Paper No. 1221
Number of pages: 83 Posted: 22 Jan 2018
Pennsylvania State University, Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 64 (337,850)

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Ambiguity, Bayesian estimation, equity premium, Markov-switching, long-run risk

9.

Consumption Risk and the Cross-Section of Option Returns

Number of pages: 60 Posted: 02 Jan 2019
Alliance Manchester Business School, University of Manchester - Alliance Manchester Business School, University of Manchester - Alliance Manchester Business School and Rutgers, The State University of New Jersey - Department of Finance
Downloads 53 (370,185)

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Consumption Growth, Option Returns, Recursive Utility, Volatility Risk

10.

Measuring Ambiguity Aversion

FEDS Working Paper No. 2015-105
Number of pages: 48 Posted: 25 Nov 2015
Duke University, Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 33 (443,389)

Abstract:

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Ambiguity aversion, Bayesian estimation, Equity premium puzzle, Markov switching