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Model Uncertainty, Ambiguity Aversion, and Market Participation
Hirshleifer, David - 2017
equilibrium model with a fund offering the risk-adjusted market portfolio (RAMP), ambiguity averse investors hold the fund and an … optimal portfolio based on only one information source (price versus private signal). Asset risk premia satisfy the CAPM with …
Persistent link: https://www.econbiz.de/10012453570
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Obfuscation, Learning, and the Evolution of Investor Sophistication
Carlin, Bruce Ian - 2009
Investor sophistication has lagged behind the growing complexity of retail financial markets. To explore this, we develop a dynamic model to study the interaction between obfuscation and investor sophistication. Taking into account different learning mechanisms within the investor population, we...
Persistent link: https://www.econbiz.de/10012463695
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Ambiguity Aversion and Household Portfolio Choice : Empirical Evidence
Dimmock, Stephen G. - 2013
.S. household survey, we measure ambiguity aversion using custom- designed questions based on Ellsberg urns. As theory predicts …
Persistent link: https://www.econbiz.de/10012459919
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Nonparametric Risk Management and Implied Risk Aversion
Ait-Sahalia, Yacine - 2000
Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical … VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the … context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is …
Persistent link: https://www.econbiz.de/10012471198
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Optimal Funding and Asset Allocation Rules for Defined-Benefit Pension Plans
Harrison, J. Michael - 1982
This paper considers a world in which pension funds may default, the cost of the associated risk of default is not …
Persistent link: https://www.econbiz.de/10012478172
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The Taxation of Risky Assets
Bulow, Jeremy I. - 1982
adjusted to take account of future asset price risk. Some empirical calculations suggest that these adjustments are large, and …
Persistent link: https://www.econbiz.de/10012478211
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Evaluating the Taxation of Risky Assets
Auerbach, Alan J. - 1981
This paper explores the taxation of risky assets, both from the theoretical perspective of optimal taxation and from the practical one of measuring "the" tax rate on an asset when, as under existing practice, its stochastic returns are subject to differential tax treatment across states of...
Persistent link: https://www.econbiz.de/10012478307
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Consumption Correlatedness and Risk Measurement in Economies with Non trade Assets and Heterogeneous Information
Grossman, Sanford J. - 1981
The consumption beta theorem of Breeden makes the expected return on any asset a function only of its covariance with changes in aggregate consumption. It is shown that the theorem is more robust than was indicated by Breeden. The theorem obtains even if one deletes Breeden's assumptions that...
Persistent link: https://www.econbiz.de/10012478428
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
a simple extension of the long-run risk model …
Persistent link: https://www.econbiz.de/10012480268
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Self-Fulfilling Risk Panics : An Expected Utility Framework
Benhabib, Jess - 2020
Even if an asset has no fundamental uncertainty with a constant dividend process, a stochastic sentiment-driven equilibrium for the asset price exists besides the well-known fundamental equilibrium. Our paper constructs such sentiment-driven equilibria under general utility functions within an...
Persistent link: https://www.econbiz.de/10012482502