Working Papers:

• Endogenous ambiguity under probabilistic information purchases

under review  with A. M. Khan

• Linking no-Betting and Belief-Neutral Pareto Efficiency

under review  with M. Ghossoub

• Dynamic inconsistency and inefficiency of equilibrium under Knightian uncertainty

under review  with M. Zierhut 

• Robust utility in continuous time

submitted  with F. Maccheroni, M. Marinacci and S. Mukerji

Publications:

1. No-Betting Pareto Optima under Rank-Dependent Utility

Mathematics of Operations Research (2023) (accepted)  with T. Boonen and M. Ghossoub

2. Optimal allocations with alpha-maxmin utilities, Choquet expected utilities, and prospect theory

Theoretical Economics (2023) 18(3): 993–1022   with J. Werner

3. Robust contracts in general contract spaces 

Economic Theory (2022) 73: 917–945, with J. Backhoff and U. Horst

4. 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

5. Dynamically consistent alpha-maxmin expected utility

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

6. Equilibria under Knightian price uncertainty

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

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

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

8. Coherent Price Systems and Uncertainty-Neutral Valuation

Risks (2019) 7(3): 98

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

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

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

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

11. Equilibrium prices and trade under ambiguous volatility

Economic Theory (2017) 64 (2): 213-238

12. Brownian equilibrium under Knightian uncertainty

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

Work in Progress:

• Decision problems 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:

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

• Radner Equilibria under Ambiguous Volatility

Slides