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Details about Tan Wang

Workplace:Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University, (more information at EDIRC)

Access statistics for papers by Tan Wang.

Last updated 2014-11-10. Update your information in the RePEc Author Service.

Short-id: pwa705


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Working Papers

2013

  1. Uncertainty, Unemployment Insurance, Individual's Optimal Stopping Time and Duration of Unemployment
    Working Paper series, Rimini Centre for Economic Analysis Downloads

2010

  1. Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    See also Journal Article in Management Science (2012)

2005

  1. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) Downloads View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads

    See also Journal Article in Review of Financial Studies (2007)

2004

  1. Search and endogenous concentration of liquidity in asset markets
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    See also Journal Article in Journal of Economic Theory (2007)

2002

  1. An Equilibrium Model of Rare Event Premia
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (1)
  2. Model Misspecification and Under-Diversification
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)

2000

  1. Updating Rules for Non-Bayesian Preferences
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads

1998

  1. Efficient Intertemporal Allocations with Recursive Utility
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Economic Theory (2000)

1997

  1. On the Existence and Duration "Wait" Migration in a Generalized Model
    Working Papers, University of Waterloo, Department of Economics
  2. The Role of Risk Aversion and Uncertainty in Individual's Migration Decision
    Working Papers, University of Waterloo, Department of Economics View citations (2)

Journal Articles

2012

  1. Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification
    Management Science, 2012, 58, (2), 253-272 Downloads View citations (43)
    See also Working Paper (2010)

2011

  1. Discussion of “Asset Prices, Liquidity, and Monetary Policy in an Exchange Economy”
    Journal of Money, Credit and Banking, 2011, 43, 553-558 Downloads
  2. Privatization and Risk Sharing: Evidence from the Split Share Structure Reform in China
    Review of Financial Studies, 2011, 24, (7), 2499-2525 Downloads View citations (84)

2008

  1. Implications of the Sharpe ratio as a performance measure in multi-period settings
    Journal of Economic Dynamics and Control, 2008, 32, (5), 1622-1649 Downloads View citations (6)
  2. Robust Stochastic Discount Factors
    Review of Financial Studies, 2008, 21, (3), 1077-1122 Downloads View citations (7)

2007

  1. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
    Review of Financial Studies, 2007, 20, (1), 41-81 Downloads View citations (173)
    See also Working Paper (2005)
  2. Search and endogenous concentration of liquidity in asset markets
    Journal of Economic Theory, 2007, 136, (1), 66-104 Downloads View citations (87)
    See also Working Paper (2004)

2005

  1. Model Uncertainty, Limited Market Participation, and Asset Prices
    Review of Financial Studies, 2005, 18, (4), 1219-1251 Downloads View citations (88)

2004

  1. Arbitrage: the key to pricing options
    Economic Commentary, 2004, (jan1) Downloads View citations (1)

2003

  1. Conditional preferences and updating
    Journal of Economic Theory, 2003, 108, (2), 286-321 Downloads View citations (33)

2001

  1. Equilibrium with new investment opportunities
    Journal of Economic Dynamics and Control, 2001, 25, (11), 1751-1773 Downloads View citations (3)
  2. Pricing of New Securities in an Incomplete Market: the Catch 22 of No‐Arbitrage Pricing
    Mathematical Finance, 2001, 11, (3), 267-284 Downloads View citations (2)

2000

  1. Efficient Intertemporal Allocations with Recursive Utility
    Journal of Economic Theory, 2000, 93, (2), 240-259 Downloads View citations (20)
    See also Working Paper (1998)

1996

  1. "Beliefs about Beliefs" without Probabilities
    Econometrica, 1996, 64, (6), 1343-73 Downloads View citations (30)

1995

  1. Uncertainty, Risk-Neutral Measures and Security Price Booms and Crashes
    Journal of Economic Theory, 1995, 67, (1), 40-82 Downloads View citations (36)

1994

  1. Intertemporal Asset Pricing Under Knightian Uncertainty
    Econometrica, 1994, 62, (2), 283-322 Downloads View citations (334)

1993

  1. Lp-Frechet Differentiable Preference and Local Utility Analysis
    Journal of Economic Theory, 1993, 61, (1), 139-159 Downloads View citations (2)
 
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