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Coherent-price systems and uncertainty-neutral valuation

Beissner, Patrick


This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates ambiguity about risk. This additional ambiguity motivates a new principle of risk- and ambiguity-neutral valuation as an extension of the paper by Ross (1976) (Ross, Stephen A. 1976. The arbitrage theory of capital asset pricing. Journal of Economic Theory 13:341–60). In the spirit of Harrison and Kreps (1979) (Harrison, J. Michael, and David M. Kreps. 1979. Martingales and...[Show more]

CollectionsANU Research Publications
Date published: 2019-09-17
Type: Journal article
Source: Risks
DOI: 10.3390/risks7030098
Access Rights: Open Access


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