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Model Uncertainty, Ambiguity Premium and Optimal Asset Allocation
Xu, Yuhong - 2016
subhedging P&L.Asset allocation under constant absolute risk aversion (CARA) utility is investigated with ambiguous volatility … and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation … ambiguity premium and risk premium demonstrate that a decrease in ambiguity premium on volatility gives rise to an increase in …
Persistent link: https://www.econbiz.de/10012987227
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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
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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
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Mean-variance relationship and uncertainty
Kim, Jun Sik - In: Journal of derivatives and quantitative studies 30 (2022) 1, pp. 23-45
empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …
Persistent link: https://www.econbiz.de/10012887264
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Attitudes towards ambiguous information and stock returns
Zhang, Ziyun - In: Cogent economics & finance 7 (2019) 1, pp. 1-33
This study examines whether investors’ attitudes toward ambiguity can explain cross-sectional stock returns by investigating the relationship between future stock returns and option-implied volatilities as well as implied third moments. We find that investors’ attitudes toward different...
Persistent link: https://www.econbiz.de/10014232777
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Correlation Ambiguity and Under-Diversification
Liu, Jun - 2017
We study effects of correlation ambiguity on portfolio choice when the number of risky assets is large. We find that the optimal portfolio contains only a fraction of available risky assets. With 100 stocks randomly selected from the S&P 500, less than 20 stocks will be held in the optimal...
Persistent link: https://www.econbiz.de/10012970599
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Large-scale portfolio allocation under transaction costs and model uncertainty
Hautsch, Nikolaus; Voigt, Stefan - 2017
We theoretically and empirically study large-scale portfolio allocation problems when transaction costs are taken into account in the optimization problem. We show that transaction costs act on the one hand as a turnover penalization and on the other hand as a regularization, which shrinks the...
Persistent link: https://www.econbiz.de/10011755791
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Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns
Feunou, Bruno - 2019
their fluctuations, called the loss and gain quadratic risk premium (QRP) respectively. The loss QRP interprets as the … premium paid for downside risk hedging, while the gain QRP reads as the premium received for upside risk compensation. Long …-short portfolio strategies based on the loss or gain QRP yield monthly risk-adjusted expected excess returns of up to 2.8%. This cross …
Persistent link: https://www.econbiz.de/10012900726
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Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns
Feunou, Bruno - 2019
their fluctuations, called the loss and gain quadratic risk premium (QRP) respectively. The loss QRP interprets as the … premium paid for downside risk hedging, while the gain QRP reads as the premium received for upside risk compensation. Long …-short portfolio strategies based on the loss or gain QRP yield monthly risk-adjusted expected excess returns of up to 2.8%. This cross …
Persistent link: https://www.econbiz.de/10012899155
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Uncertainty, Information Acquisition and Price Swings in Asset Markets
Mele, Antonio - 2018
distribution (i.e., risk). It also mitigates the uncertainty about the true distribution of the fundamentals. Agents who lack …
Persistent link: https://www.econbiz.de/10012940746