Research Interests
Asset Pricing
General Equilibrium Theory
Ambiguity in Continuous Time
Economics of Information
Nonlinear Expectations
Differential Calculus
Patrick Beißner
Associate Professor
Australian National University (ANU) at Research School of Economics (RSE)
patrick.beissner{at}anu.edu.au
Working Papers:
Endogenous ambiguity under probabilistic information purchases
submitted with A. M. Khan
Dynamic inconsistency and inefficiency of equilibrium under Knightian uncertainty
submitted with M. Zierhut
No-Betting Pareto Optima under Rank-Dependent Utility
submitted with T. Boonen and M. Ghossoub
Robust utility in continuous time
available on request with F. Maccheroni, M. Marinacci and S. Mukerji
Publications:
Optimal allocations with alpha-maxmin utilities, Choquet expected utilities, and prospect theory
Theoretical Economics (2023) (accepted) with J. Werner
Economic Theory (2022) 73: 917–945, with J. Backhoff and U. Horst
Probability, Uncertainty and Quantitative Risk (2021) 6(1): 23-52, with E. Rosazza-Gianin
Mathematical Finance (2020) 30(3): 1073-1102, with Q. Lin and F. Riedel
Econometrica (2019) 87(1): 37-64 with F. Riedel
Games and Economic Behavior (2019) 115: 470-490, with A. M. Khan
Risks (2019) 7(3): 98
SIAM Journal on Financial Mathematics (2018) 9(1): 381-400, with L. Denis
Finance and Stochastics (2018) 22(3): 603-620, with F. Riedel
Economic Theory (2017) 64 (2): 213-238
Mathematics and Financial Economics (2015) 9(1): 39–56
Work in Progress:
Decision propblems with dynamic robust utility with F. Maccheroni, M. Marinacci and S. Mukerji
Sentiment-based asset pricing with Y. Ait-Sahalia, P. Cheridito and F. Matthys
Equilibrium interest rates under volatility uncertainty with U. Horst
Robust control under continuous-time volatility uncertainty with L. Denis and C. Zhou