Publications:

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

2. Dynamically Consistent Alpha Maxmin Expected Utility

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

3. Equilibria under Knightian Price Uncertainty

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

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

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

5. Coherent Price Systems and Uncertainty-Neutral Valuation

Risks (2019) 7(3), 98

6. Duality, the Theory of Value and Asset Pricing under Knightian Uncertainty

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

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

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

8. Equilibrium Prices and Trade under Ambiguous Volatility

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

9. 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

Others:

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

• Radner Equilibria under Ambiguous Volatility