Details about Tan Wang

Access statistics for papers by Tan Wang.

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

Short-id: pwa705

Working Papers

2013

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

2010

2. Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
   See also Journal Article Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification, Management Science, INFORMS (2012) View citations (86) (2012)

2005

3. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
   Also in Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) View citations (3)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (1)
   See also Journal Article Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach, The Review of Financial Studies, Society for Financial Studies (2007) View citations (280) (2007)

2004

4. Search and endogenous concentration of liquidity in asset markets
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   See also Journal Article Search and endogenous concentration of liquidity in asset markets, Journal of Economic Theory, Elsevier (2007) View citations (131) (2007)

2002

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

2000

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

1998

8. Efficient Intertemporal Allocations with Recursive Utility
   NBER Technical Working Papers, National Bureau of Economic Research, Inc
   See also Journal Article Efficient Intertemporal Allocations with Recursive Utility, Journal of Economic Theory, Elsevier (2000) View citations (26) (2000)

1997

9. On the Existence and Duration "Wait" Migration in a Generalized Model
   Working Papers, University of Waterloo, Department of Economics
10. 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 View citations (86)
   See also Working Paper Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification, CEPR Discussion Papers (2010) View citations (4) (2010)

2011

2. Discussion of “Asset Prices, Liquidity, and Monetary Policy in an Exchange Economy”
   Journal of Money, Credit and Banking, 2011, 43, 553-558
3. Privatization and Risk Sharing: Evidence from the Split Share Structure Reform in China
   The Review of Financial Studies, 2011, 24, (7), 2499-2525 View citations (143)

2008

4. Implications of the Sharpe ratio as a performance measure in multi-period settings
   Journal of Economic Dynamics and Control, 2008, 32, (5), 1622-1649 View citations (12)
5. Robust Stochastic Discount Factors
   The Review of Financial Studies, 2008, 21, (3), 1077-1122 View citations (10)

2007

6. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
   The Review of Financial Studies, 2007, 20, (1), 41-81 View citations (280)
   See also Working Paper Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach, CEPR Discussion Papers (2005) View citations (1) (2005)
7. Search and endogenous concentration of liquidity in asset markets
   Journal of Economic Theory, 2007, 136, (1), 66-104 View citations (131)
   See also Working Paper Search and endogenous concentration of liquidity in asset markets, LSE Research Online Documents on Economics (2004) (2004)

2005

8. Model Uncertainty, Limited Market Participation, and Asset Prices
   The Review of Financial Studies, 2005, 18, (4), 1219-1251 View citations (158)

2004

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

2003

10. Conditional preferences and updating
    Journal of Economic Theory, 2003, 108, (2), 286-321 View citations (43)

2001

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

2000

13. Efficient Intertemporal Allocations with Recursive Utility
    Journal of Economic Theory, 2000, 93, (2), 240-259 View citations (26)
    See also Working Paper Efficient Intertemporal Allocations with Recursive Utility, NBER Technical Working Papers (1998) (1998)

1996

14. "Beliefs about Beliefs" without Probabilities
    Econometrica, 1996, 64, (6), 1343-73 View citations (62)

1995

15. Uncertainty, Risk-Neutral Measures and Security Price Booms and Crashes
    Journal of Economic Theory, 1995, 67, (1), 40-82 View citations (50)

1994

16. Intertemporal Asset Pricing Under Knightian Uncertainty
    Econometrica, 1994, 62, (2), 283-322 View citations (435)

1993

17. Lp-Frechet Differentiable Preference and Local Utility Analysis
    Journal of Economic Theory, 1993, 61, (1), 139-159 View citations (4)