Working Papers:

• "Endogenous ambiguity under probabilistic information purchases," under review with A. M. Khan

• "Optimal allocations with alpha-maxmin utilities, Choquet expected utilities, and prospect theory," under review with J. Werner

• "Robust dynamic utility," work in progress with F. Maccheroni, M. Marinacci and S. Mukerji

• "Dynamic inconsistency and inefficiency of equilibrium under Knightian uncertainty," under review with M. Zierhut

• "Robust control under continuous-time volatility uncertainty," work in progress with L. Denis and C. Zhou

Publications:

1. Robust contracts in general contract spaces

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

2. 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

3. Dynamically consistent alpha-maxmin expected utility

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

4. Equilibria under Knightian price uncertainty

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

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

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

6. Coherent Price Systems and Uncertainty-Neutral Valuation

Risks (2019) 7(3): 98

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

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

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

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

9. Equilibrium prices and trade under ambiguous volatility

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

10. Brownian equilibrium under Knightian uncertainty

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

Others:

• Microeconomic Theory of Financial Economics under Volatility Uncertainty (Thesis)

• Radner Equilibria under Ambiguous Volatility