{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,5]],"date-time":"2025-10-05T16:53:21Z","timestamp":1759683201857},"reference-count":54,"publisher":"Springer Science and Business Media LLC","issue":"4","license":[{"start":{"date-parts":[[2012,4,25]],"date-time":"2012-04-25T00:00:00Z","timestamp":1335312000000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Ann Finance"],"published-print":{"date-parts":[[2012,11]]},"DOI":"10.1007\/s10436-012-0197-y","type":"journal-article","created":{"date-parts":[[2012,4,24]],"date-time":"2012-04-24T05:55:17Z","timestamp":1335246917000},"page":"507-531","source":"Crossref","is-referenced-by-count":7,"title":["The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices"],"prefix":"10.1007","volume":"8","author":[{"given":"Gon\u00e7alo","family":"Faria","sequence":"first","affiliation":[]},{"given":"Jo\u00e3o","family":"Correia-da-Silva","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2012,4,25]]},"reference":[{"key":"197_CR1","doi-asserted-by":"crossref","first-page":"881","DOI":"10.1111\/j.1540-6261.1993.tb04023.x","volume":"48","author":"K. Amin","year":"1993","unstructured":"Amin K., Ng V.: Option valuation with systematic stochastic volatility. J Financ 48, 881\u2013910 (1993)","journal-title":"J Financ"},{"key":"197_CR2","doi-asserted-by":"crossref","first-page":"2388","DOI":"10.1016\/j.jet.2008.11.014","volume":"144","author":"F. Barillas","year":"2009","unstructured":"Barillas F., Hansen L.P., Sargent T.J.: Doubts or variability?. J Econ Theory 144, 2388\u20132418 (2009)","journal-title":"J Econ Theory"},{"key":"197_CR3","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"F. Black","year":"1973","unstructured":"Black F., Scholes M.S.: The pricing of options and corporate liabilities. J Polit Econ 81, 637\u2013654 (1973)","journal-title":"J Polit Econ"},{"key":"197_CR4","doi-asserted-by":"crossref","first-page":"133","DOI":"10.1016\/0378-4266(79)90011-6","volume":"3","author":"M.J. Brennan","year":"1979","unstructured":"Brennan M.J., Schwartz E.S.: A continuous time approach to the pricing of bonds. J Bank Financ 3, 133\u2013155 (1979)","journal-title":"J Bank Financ"},{"key":"197_CR5","doi-asserted-by":"crossref","first-page":"363","DOI":"10.1093\/rfs\/15.2.363","volume":"15","author":"M. Cagetti","year":"2002","unstructured":"Cagetti M., Hansen L.P., Sargent T.J., Williams N.: Robustness and pricing with uncertain growth. Rev Financ Stud 15, 363\u2013404 (2002)","journal-title":"Rev Financ Stud"},{"key":"197_CR6","doi-asserted-by":"crossref","first-page":"325","DOI":"10.1007\/BF00122575","volume":"5","author":"C. Camerer","year":"1992","unstructured":"Camerer C., Weber M.: Recent developments in modeling preferences: uncertainty and ambiguity. J Risk Uncertain 5, 325\u2013370 (1992)","journal-title":"J Risk Uncertain"},{"key":"197_CR7","doi-asserted-by":"crossref","first-page":"1219","DOI":"10.1093\/rfs\/hhi034","volume":"18","author":"H.H. Cao","year":"2005","unstructured":"Cao H.H., Wang T., Zhang H.H.: Model uncertainty, limited market participation, and asset prices. Rev Financ Stud 18, 1219\u20131251 (2005)","journal-title":"Rev Financ Stud"},{"key":"197_CR8","doi-asserted-by":"crossref","first-page":"1403","DOI":"10.1111\/1468-0262.00337","volume":"70","author":"Z. Chen","year":"2002","unstructured":"Chen Z., Epstein L.G.: Ambiguity, risk, and asset returns in continuous time. Econometrica 70, 1403\u20131443 (2002)","journal-title":"Econometrica"},{"key":"197_CR9","doi-asserted-by":"crossref","first-page":"67","DOI":"10.1007\/s00199-007-0316-6","volume":"39","author":"J. Correia-da-Silva","year":"2009","unstructured":"Correia-da-Silva J., Herv\u00e9s-Beloso C.: Prudent expectations equilibrium in economies with uncertain delivery. Econ Theory 39, 67\u201392 (2009)","journal-title":"Econ Theory"},{"key":"197_CR10","doi-asserted-by":"crossref","first-page":"363","DOI":"10.2307\/1911241","volume":"53","author":"J.C. Cox","year":"1985","unstructured":"Cox J.C., Ingersoll J.E., Ross S.A.: An intertemporal general equilibrium model of asset prices. Econometrica 53, 363\u2013384 (1985)","journal-title":"Econometrica"},{"key":"197_CR11","doi-asserted-by":"crossref","first-page":"385","DOI":"10.2307\/1911242","volume":"53","author":"J.C. Cox","year":"1985","unstructured":"Cox J.C., Ingersoll J.E., Ross S.A.: A theory of the term structure of interest rates. Econometrica 53, 385\u2013407 (1985)","journal-title":"Econometrica"},{"key":"197_CR12","doi-asserted-by":"crossref","first-page":"519","DOI":"10.1007\/s00199-011-0637-3","volume":"48","author":"L. Castro de","year":"2011","unstructured":"de Castro L., Pesce M., Yannelis N.: Core and equilibria under ambiguity. Econ Theory 48, 519\u2013548 (2011)","journal-title":"Econ Theory"},{"key":"197_CR13","doi-asserted-by":"crossref","first-page":"197","DOI":"10.2307\/2951685","volume":"60","author":"J. Dow","year":"1992","unstructured":"Dow J., Werlang S.R.: Uncertainty aversion, risk aversion, and the optimal choice of portfolio. Econometrica 60, 197\u2013204 (1992)","journal-title":"Econometrica"},{"key":"197_CR14","doi-asserted-by":"crossref","first-page":"411","DOI":"10.1093\/rfs\/5.3.411","volume":"5","author":"D. Duffie","year":"1992","unstructured":"Duffie D., Epstein L.G.: Asset pricing with stochastic differential utility. Rev Financ Stud 5, 411\u2013436 (1992)","journal-title":"Rev Financ Stud"},{"key":"197_CR15","doi-asserted-by":"crossref","first-page":"353","DOI":"10.2307\/2951600","volume":"60","author":"D. Duffie","year":"1992","unstructured":"Duffie D., Epstein L.G.: Stochastic differential utility. Econometrica 60, 353\u2013394 (1992)","journal-title":"Econometrica"},{"key":"197_CR16","doi-asserted-by":"crossref","first-page":"313","DOI":"10.1007\/s00199-011-0636-4","volume":"48","author":"J. Eichberger","year":"2011","unstructured":"Eichberger J., Kelsey D.: Are the treasures of game theory ambiguous?. Econ Theory 48, 313\u2013339 (2011)","journal-title":"Econ Theory"},{"key":"197_CR17","doi-asserted-by":"crossref","first-page":"643","DOI":"10.2307\/1884324","volume":"75","author":"D. Ellsberg","year":"1961","unstructured":"Ellsberg D.: Risk, ambiguity, and the Savage axioms. Q J Econ 75, 643\u2013669 (1961)","journal-title":"Q J Econ"},{"key":"197_CR18","doi-asserted-by":"crossref","first-page":"2085","DOI":"10.3982\/ECTA8689","volume":"78","author":"L.G. Epstein","year":"2010","unstructured":"Epstein L.G.: A paradox for the smooth ambiguity model of preference. Econometrica 78, 2085\u20132099 (2010)","journal-title":"Econometrica"},{"key":"197_CR19","doi-asserted-by":"crossref","first-page":"1253","DOI":"10.1016\/S0165-1889(02)00059-3","volume":"27","author":"L.G. Epstein","year":"2003","unstructured":"Epstein L.G., Miao J.: A two-person dynamic equilibrium under ambiguity. J Econ Dyn Control 27, 1253\u20131288 (2003)","journal-title":"J Econ Dyn Control"},{"key":"197_CR20","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/S0022-0531(03)00097-8","volume":"113","author":"L.G. Epstein","year":"2003","unstructured":"Epstein L.G., Schneider M.: Recursive multiple-priors. J Econ Theory 113, 1\u201331 (2003)","journal-title":"J Econ Theory"},{"key":"197_CR21","doi-asserted-by":"crossref","first-page":"315","DOI":"10.1146\/annurev-financial-120209-133940","volume":"2","author":"L.G. Epstein","year":"2010","unstructured":"Epstein L.G., Schneider M.: Ambiguity and asset markets. Annu Rev Financ Econ 2, 315\u2013346 (2010)","journal-title":"Annu Rev Financ Econ"},{"key":"197_CR22","doi-asserted-by":"crossref","first-page":"283","DOI":"10.2307\/2951614","volume":"62","author":"L.G. Epstein","year":"1994","unstructured":"Epstein L.G., Wang T.: Intertemporal asset pricing under knightian uncertainty. Econometrica 62, 283\u2013322 (1994)","journal-title":"Econometrica"},{"key":"197_CR23","doi-asserted-by":"crossref","first-page":"519","DOI":"10.1111\/j.1467-9965.2008.00346.x","volume":"18","author":"B. Eraker","year":"2008","unstructured":"Eraker B., Shaliastovich I.: An equilibrium guide to designing affine pricing models. Math Financ 18, 519\u2013543 (2008)","journal-title":"Math Financ"},{"key":"197_CR24","doi-asserted-by":"crossref","first-page":"234","DOI":"10.1111\/j.1467-6419.2010.00641.x","volume":"26","author":"J. Etner","year":"2012","unstructured":"Etner J., Jeleva M., Tallon J.M.: Decision theory under ambiguity. J Econ Surv 26, 234\u2013270 (2012)","journal-title":"J Econ Surv"},{"key":"197_CR25","unstructured":"Faria, G., Correia-da-Silva, J.: Closed-form solution for options with ambiguity about stochastic volatility. RGEA working papers 6-11, Universidade de Vigo, Research Group in Economic Analysis (2011)"},{"key":"197_CR26","doi-asserted-by":"crossref","first-page":"4157","DOI":"10.1093\/rfs\/hhn092","volume":"22","author":"P. Gagliardini","year":"2009","unstructured":"Gagliardini P., Porchia P., Trojani F.: Ambiguity aversion and the term structure of interest rates. Rev Financ Stud 22, 4157\u20134188 (2009)","journal-title":"Rev Financ Stud"},{"key":"197_CR27","doi-asserted-by":"crossref","first-page":"41","DOI":"10.1093\/rfs\/hhl003","volume":"20","author":"L. Garlappi","year":"2007","unstructured":"Garlappi L., Uppal R., Wang T.: Portfolio selection with parameter and model uncertainty: a multi-prior approach. Rev Financ Stud 20, 41\u201381 (2007)","journal-title":"Rev Financ Stud"},{"key":"197_CR28","doi-asserted-by":"crossref","first-page":"141","DOI":"10.1016\/0304-4068(89)90018-9","volume":"18","author":"I. Gilboa","year":"1989","unstructured":"Gilboa I., Schmeidler D.: Maxmin expected utility with non-unique prior. J Math Econ 18, 141\u2013153 (1989)","journal-title":"J Math Econ"},{"key":"197_CR29","doi-asserted-by":"crossref","first-page":"519","DOI":"10.1006\/redy.2001.0132","volume":"4","author":"L.P. Hansen","year":"2001","unstructured":"Hansen L.P., Sargent T.J.: Acknowledging misspecification in macroeconomic theory. Rev Econ Dyn 4, 519\u2013535 (2001)","journal-title":"Rev Econ Dyn"},{"key":"197_CR30","unstructured":"Hansen, L.P., Sargent, T.J.: Time inconsistency of robust control? Unpublished manuscript (2006)"},{"key":"197_CR31","doi-asserted-by":"crossref","first-page":"873","DOI":"10.1111\/1467-937X.00112","volume":"66","author":"L.P. Hansen","year":"1999","unstructured":"Hansen L.P., Sargent T.J., Tallarini T.D.: Robust permanent income and pricing. Rev Econ Stud 66, 873\u2013907 (1999)","journal-title":"Rev Econ Stud"},{"key":"197_CR32","doi-asserted-by":"crossref","first-page":"40","DOI":"10.1017\/S1365100502027049","volume":"6","author":"L.P. Hansen","year":"2002","unstructured":"Hansen L.P., Sargent T.J., Wang N.E.: Robust permanent income and pricing with filtering. Macroecon Dyn 6, 40\u201384 (2002)","journal-title":"Macroecon Dyn"},{"key":"197_CR33","doi-asserted-by":"crossref","first-page":"327","DOI":"10.1093\/rfs\/6.2.327","volume":"6","author":"S.L. Heston","year":"1993","unstructured":"Heston S.L.: A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev Financ Stud 6, 327\u2013343 (1993)","journal-title":"Rev Financ Stud"},{"key":"197_CR34","doi-asserted-by":"crossref","unstructured":"Ilut, C., Schneider, M.: Ambiguous business cycles. NBER working paper 17900 (2012)","DOI":"10.3386\/w17900"},{"key":"197_CR35","doi-asserted-by":"crossref","first-page":"1849","DOI":"10.1111\/j.1468-0262.2005.00640.x","volume":"73","author":"P. Klibanoff","year":"2005","unstructured":"Klibanoff P., Marinacci M., Mukerji S.: A smooth model of decision making under ambiguity. Econometrica 73, 1849\u20131892 (2005)","journal-title":"Econometrica"},{"key":"197_CR36","unstructured":"Klibanoff, P., Marinacci, M., Mukerji, S.: On the smooth ambiguity model: a reply. Econometrica (2011, forthcoming)"},{"key":"197_CR37","volume-title":"Risk, Uncertainty and Profit","author":"F.H. Knight","year":"1921","unstructured":"Knight F.H.: Risk, Uncertainty and Profit. Houghton Mifflin, Boston (1921)"},{"key":"197_CR38","doi-asserted-by":"crossref","first-page":"2565","DOI":"10.1093\/rfs\/hhm035","volume":"21","author":"M. Leippold","year":"2008","unstructured":"Leippold M., Trojani F., Vanini P.: Learning and asset prices under ambiguous information. Rev Financ Stud 21, 2565\u20132597 (2008)","journal-title":"Rev Financ Stud"},{"key":"197_CR39","doi-asserted-by":"crossref","first-page":"435","DOI":"10.1007\/s10436-010-0164-4","volume":"6","author":"H. Liu","year":"2010","unstructured":"Liu H.: Robust consumption and portfolio choice for time varying investment opportunities. Ann Financ 6, 435\u2013454 (2010)","journal-title":"Ann Financ"},{"key":"197_CR40","doi-asserted-by":"crossref","first-page":"1259","DOI":"10.1111\/j.1540-6261.1992.tb04657.x","volume":"47","author":"F.A. Longstaff","year":"1992","unstructured":"Longstaff F.A., Schwartz E.S.: Interest rate volatility and the term structure: a two-factor general equilibrium model. J Financ 47, 1259\u20131282 (1992)","journal-title":"J Financ"},{"key":"197_CR41","doi-asserted-by":"crossref","first-page":"1429","DOI":"10.2307\/1913837","volume":"46","author":"R. Lucas","year":"1978","unstructured":"Lucas R.: Asset prices in an exchange economy. Econometrica 46, 1429\u20131445 (1978)","journal-title":"Econometrica"},{"key":"197_CR42","doi-asserted-by":"crossref","first-page":"431","DOI":"10.1007\/s10436-007-0082-2","volume":"4","author":"X. Ma","year":"2008","unstructured":"Ma X., Zhao Q., Qu J.: Robust portfolio optimization with a generalized expected utility model under ambiguity. Ann Financ 4, 431\u2013444 (2008)","journal-title":"Ann Financ"},{"key":"197_CR43","doi-asserted-by":"crossref","first-page":"1447","DOI":"10.1111\/j.1468-0262.2006.00716.x","volume":"74","author":"F. Maccheroni","year":"2006","unstructured":"Maccheroni F., Marinacci M., Rustichini A.: Ambiguity aversion, robustness, and the variational representation of preferences. Econometrica 74, 1447\u20131498 (2006)","journal-title":"Econometrica"},{"key":"197_CR44","doi-asserted-by":"crossref","first-page":"951","DOI":"10.1093\/rfs\/hhh003","volume":"17","author":"P.J. Maenhout","year":"2004","unstructured":"Maenhout P.J.: Robust portfolio rules and asset pricing. Rev Financ Stud 17, 951\u2013983 (2004)","journal-title":"Rev Financ Stud"},{"key":"197_CR45","doi-asserted-by":"crossref","first-page":"136","DOI":"10.1016\/j.jet.2005.12.012","volume":"128","author":"P.J. Maenhout","year":"2006","unstructured":"Maenhout P.J.: Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium. J Econ Theory 128, 136\u2013163 (2006)","journal-title":"J Econ Theory"},{"key":"197_CR46","doi-asserted-by":"crossref","first-page":"469","DOI":"10.1007\/s00199-011-0648-0","volume":"48","author":"H. Ozsoylev","year":"2011","unstructured":"Ozsoylev H., Werner J.: Liquidity and asset prices in rational expectations equilibrium with ambiguous information. Econ Theory 48, 469\u2013491 (2011)","journal-title":"Econ Theory"},{"key":"197_CR47","doi-asserted-by":"crossref","first-page":"857","DOI":"10.3982\/ECTA7594","volume":"77","author":"F. Riedel","year":"2009","unstructured":"Riedel F.: Optimal stopping with multiple priors. Econometrica 77, 857\u2013908 (2009)","journal-title":"Econometrica"},{"key":"197_CR48","doi-asserted-by":"crossref","first-page":"279","DOI":"10.1023\/B:EUFI.0000035193.29969.40","volume":"8","author":"F. Trojani","year":"2004","unstructured":"Trojani F., Vanini P.: Robustness and ambiguity aversion in general equilibrium. Rev Financ 8, 279\u2013324 (2004)","journal-title":"Rev Financ"},{"key":"197_CR49","doi-asserted-by":"crossref","first-page":"245","DOI":"10.1093\/rof\/rfq012","volume":"15","author":"T. Ui","year":"2011","unstructured":"Ui T.: The ambiguity premium vs the risk premium under limited market participation. Rev Financ 15, 245\u2013275 (2011)","journal-title":"Rev Financ"},{"key":"197_CR50","volume-title":"Observable long-run ambiguity and long-run risk","author":"M. Ulrich","year":"2010","unstructured":"Ulrich M.: Observable long-run ambiguity and long-run risk. Working paper, Columbia Business School (2010)"},{"key":"197_CR51","doi-asserted-by":"crossref","first-page":"2465","DOI":"10.1046\/j.1540-6261.2003.00612.x","volume":"58","author":"R. Uppal","year":"2003","unstructured":"Uppal R., Wang T.: Model misspecification and underdiversification. J Financ 58, 2465\u20132486 (2003)","journal-title":"J Financ"},{"key":"197_CR52","doi-asserted-by":"crossref","first-page":"177","DOI":"10.1016\/0304-405X(77)90016-2","volume":"5","author":"O. Vasicek","year":"1977","unstructured":"Vasicek O.: An equilibrium characterization of the term structure. J Financ Econ 5, 177\u2013188 (1977)","journal-title":"J Financ Econ"},{"key":"197_CR53","first-page":"217","volume":"12","author":"W. Xu","year":"2011","unstructured":"Xu W., Li H., Wu C.: A robust general equilibrium stochastic volatility model with recursive preference investors. Ann Econ Financ 12, 217\u2013231 (2011)","journal-title":"Ann Econ Financ"},{"key":"197_CR54","doi-asserted-by":"crossref","first-page":"651","DOI":"10.1017\/S1365100505040332","volume":"9","author":"W. Zhang","year":"2005","unstructured":"Zhang W., Semmler W.: Monetary policy rules under uncertainty: empirical evidence, adaptative learning, and robust control. Macroecon Dyn 9, 651\u2013681 (2005)","journal-title":"Macroecon Dyn"}],"container-title":["Annals of Finance"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10436-012-0197-y.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10436-012-0197-y\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10436-012-0197-y","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,6,27]],"date-time":"2019-06-27T19:45:46Z","timestamp":1561664746000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10436-012-0197-y"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2012,4,25]]},"references-count":54,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2012,11]]}},"alternative-id":["197"],"URL":"https:\/\/doi.org\/10.1007\/s10436-012-0197-y","relation":{},"ISSN":["1614-2446","1614-2454"],"issn-type":[{"value":"1614-2446","type":"print"},{"value":"1614-2454","type":"electronic"}],"subject":[],"published":{"date-parts":[[2012,4,25]]}}}