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Portfolio choices : comparative statics under both expected return and volatility uncertainty

Lin, Qian; Tian, Dejian - In: Quantitative finance 21 (2021) 6, pp. 1027-1035

Persistent link: https://www.econbiz.de/10012515634

Asset pricing and ambiguity : empirical evidence

Brenner, Menachem; Izhakian, Yehuda - In: Journal of financial economics 130 (2018) 3, pp. 503-531

Persistent link: https://www.econbiz.de/10012051345

Equilibrium prices and trade under ambiguous volatility

Beißner, Patrick - In: Economic theory : official journal of the Society for … 64 (2017) 2, pp. 213-238

Persistent link: https://www.econbiz.de/10011740090

Economic uncertainty : mispricing and ambiguity premium

Cai, Charlie X.; Fu, Xi; Kerestecioglu, Semih - In: European financial management : the journal of the … 29 (2023) 5, pp. 1702-1751

Persistent link: https://www.econbiz.de/10014430235

High order smooth ambiguity preferences and asset prices

Thimme, Julian; Völkert, Clemens - In: Review of financial economics : RFE 27 (2015), pp. 1-15

Persistent link: https://www.econbiz.de/10011498307

Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 945-993

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

Persistent link: https://www.econbiz.de/10011994544

The effect of ambiguity on the UK Stock market : evidence from a new empirical approach

Run Qing Tan; Manahov, Viktor; Thijssen, Jacco J. J. - In: Investment management and financial innovations 14 (2017) 4, pp. 133-147

Persistent link: https://www.econbiz.de/10011876582

Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

Persistent link: https://www.econbiz.de/10011756113

Uncertain growth, ambiguity aversion and asset prices

Liu, Hening - 2011

are (1) the model can generate a high and volatile equity premium while a low and smooth risk-free rate, (2) agents … volatility clusterng and persistence; and (3) Bayesian learning itself is unable to generate a significant and positive risk …

Persistent link: https://www.econbiz.de/10009411461

Does smooth ambiguity matter for asset pricing?

Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

Persistent link: https://www.econbiz.de/10011780610