Research Interests

Asset Pricing

General Equilibrium Theory

Ambiguity in Continuous Time

Economics of Information

Nonlinear Expectations

Patrick Beißner

Associate Professor

Australian National University (ANU)

Research School of Economics (RSE)


CV August 2020

Working Papers and work in progress:

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

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

  • "Sentiment-Based Asset Pricing," work in progress with Y. Ait-Sahalia, P. Cheridito and F. Matthys

  • "Equilibrium Regulation of Competitive Markets with Strategic Price Uncertainty∗," work in progress with F. Riedel

  • "Equilibrium Interest Rates under Volatility Uncertainty," work in progress with U. Horst

  • "Pareto Optimality under Volatility Uncertainty," work in progress with U. Horst

  • "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

  • "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


  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 (2016) 64 (2): 213-238

  1. Brownian equilibrium under Knightian uncertainty

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