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)


CV August 2020

Working Papers:

  • Optimal allocations with alpha-maxmin utilities, Choquet expected utilities, and prospect theory

submitted with J. Werner

  • Endogenous ambiguity under probabilistic information purchases

under review with A. M. Khan

  • Dynamic inconsistency and inefficiency of equilibrium under Knightian uncertainty

under review with M. Zierhut

  • Robust utility in continuous time

available on request with F. Maccheroni, M. Marinacci and S. Mukerji


  1. Robust contracts in general contract spaces

Economic Theory (2021, to appear), with J. Backhoff and U. Horst

  1. The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time

Probability, Uncertainty and Quantitative Risk (2021) 6(1): 23-52, with E. Rosazza-Gianin

  1. Dynamically consistent alpha-maxmin expected utility

Mathematical Finance (2020) 30(3): 1073-1102, with Q. Lin and F. Riedel

  1. Equilibria under Knightian price uncertainty

Econometrica (2019) 87(1): 37-64 with F. Riedel

  1. On Hurwicz-Nash equilibria of non-Bayesian games under incomplete information

Games and Economic Behavior (2019) 115: 470-490, with A. M. Khan

  1. Coherent Price Systems and Uncertainty-Neutral Valuation

Risks (2019) 7(3): 98

  1. Duality, the Theory of Value and asset pricing under Knightian uncertainty

SIAM Journal on Financial Mathematics (2018) 9(1): 381-400, with L. Denis

  1. (Non-)Implementability of Arrow-Debreu equilibria by continuous trading under Knightian uncertainty

Finance and Stochastics (2018) 22(3): 603-620, with F. Riedel

  1. Equilibrium prices and trade under ambiguous volatility

Economic Theory (2017) 64 (2): 213-238

  1. Brownian equilibrium under Knightian uncertainty

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