Gibson, Rajna; Ryabkov, Nikolay - 2014
This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we … measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and … we construct the systematic ambiguity factors from the universe of S&P 500 stocks. We estimate ambiguity betas for long …