Does ambiguity matter? : estimating asset pricing models with a multiple-priors recursive utility
Daehee Jeong; Hwagyun Kim; Joon Y. Park
| Year of publication: |
2015
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|---|---|
| Authors: | Jeong, Daehee ; Kim, Hwagyun ; Park, Joon Y. |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 115.2015, 2, p. 361-382
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| Subject: | Recursive utility | Stochastic differential utility | Multiple priors | Ambiguity aversion | Continuous-time conditional mean model | Martingale regression | Time change | Mixed frequency data | Theorie | Theory | CAPM | Stochastischer Prozess | Stochastic process | Nutzen | Utility | Risikoaversion | Risk aversion | Martingal | Martingale | Erwartungsnutzen | Expected utility | Entscheidung unter Unsicherheit | Decision under uncertainty | Portfolio-Management | Portfolio selection | Nutzenfunktion | Utility function |