Research interests

Asset Pricing

General Equilibrium Theory

Knightian Uncertainty in Continuous Time

Economics of Information

Nonlinear Expectations

Patrick Beissner

Associate Professor

Australian National University

Research School of Economics


CV August 2020


  1. The Term Structure of Sharpe Ratios and Arbitrage-Free Asset Pricing in Continuous Time

Probability, Uncertainty and Quantitative Risk (accepted), with Emanuela Rosazza.-Gianin

  1. Dynamically Consistent Alpha Maxmin Expected Utility

Mathematical Finance (2020) 30(3):1073-1102, with Qian Lin and Frank Riedel

  1. Equilibria under Knightian Price Uncertainty

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

  1. On Hurwicz-Nash Equilibria of Non-Bayesian Games under Incomplete Information

Games and Economic Behavior (2019) 115: 470-490, with Ali 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 Laurent Denis

  1. (Non-)Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty

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

  1. Equilibrium Prices and Trade under Ambiguous Volatility

Economic Theory (2016) 64 (2): 213-238

  1. Brownian Equilibrium under Knightian Uncertainty

Mathematics and Financial Economics (2015) 9(1): 39–56

Submitted/under Review:

  • Endogenous Ambiguity under Probabilistic Information Purchases with Ali M. Khan

  • Robust optimal contract in general contract spaces with Julio Backhoff and Ulrich Horst

  • Dynamic Inconsistency and Inefficiency of Equilibrium under Knightian Uncertainty with Michael Zierhut

Working Papers:

  • Optimal Allocations when Agents Have Alpha-MaxMin Utilities with Jan Werner

  • A compact topology for σ-algebra convergence with Jonas M. Tölle

Work in Progress:

  • Robust Dynamic Utility with Fabio Maccheroni, Massimo Marinacci and Sujoy Mukerji

  • Robust Control under Continuous-Time Volatility Uncertainty with Laurent Denis and Chao Zhou