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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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Life-cycle asset allocation with ambiguity aversion and learning
Peijnenburg, Kim - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 1962-1994
Persistent link: https://www.econbiz.de/10011959061
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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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Policymakers' Uncertainty
Cieślak, Anna; Hansen, Stephen; McMahon, Michael; … - National Bureau of Economic Research - 2023
Uncertainty is a ubiquitous concern emphasized by policymakers. We study how uncertainty affects decision-making by the Federal Open Market Committee (FOMC). We distinguish between the notion of Fed-managed uncertainty vis-a-vis uncertainty that emanates from within the economy and which the Fed...
Persistent link: https://www.econbiz.de/10014436980
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Mean-variance utility functions and the demand for risky assets : an empirical analysis using flexible functional forms
Aivazian, Varouj A. - In: Journal of financial and quantitative analysis : JFQA 18 (1983) 4, pp. 411-424
Persistent link: https://www.econbiz.de/10001815100
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Measuring risk in fixed payment securities : an empirical test of the structured full rank covariance matrix
Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 3, pp. 345-362
Persistent link: https://www.econbiz.de/10001113532
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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