Title: Robust portfolio selection and asset pricing under model uncertainty
Abstract: The importance of uncertainty has long been recognized in economics.Using an overlapping generation model with heterogeneous investors in preference,this paper studies the impacts of model uncertainty on asset pricing.The results show that model uncertainty aversion lowers the equilibrium price of risk asset that is inversely proportional to the aversion degree,and increasing the number of robust investors also lowers the equilibrium price.In addition,the paper sheds light on the equity premium puzzle.
Publication Year: 2009
Publication Date: 2009-01-01
Language: en
Type: article
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