Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011
This paper assesses the quantitative impact of ambiguity on the historically observed equity premium. We consider a Lucas-tree pure-exchange economy with a single agent where we introduce two key non-standard assumptions. First, the agent's beliefs about the dividend/consumption process is...