Ambiguity in Factor Models with Vector Expected

This letter applies Siniscalchi (2009)’s Vector Expected Utility to introduce ambiguity aversion into factor models for assets’ returns. The resulting criterion is tractable and its adjustment for ambiguity vanishes as initial wealth increases. Finally, it can be related to shrinkage estimators which are used to estimate covariance matrices

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Year of publication:	2022
Authors:	André, Eric
Publisher:	[S.l.] : SSRN
Subject:	Faktorenanalyse \| Factor analysis \| Theorie \| Theory \| Erwartungsbildung \| Expectation formation \| VAR-Modell \| VAR model \| Entscheidung unter Unsicherheit \| Decision under uncertainty

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Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4285425 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014240755