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

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

Publications:

  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

Others: