We derive the equilibrium asset expected returns when there is ambiguity in asset expected returns, as well as ambiguity in asset return variances. In our model, ambiguity risk is systematic in nature and is non-diversifiable. Under regularity conditions, expected asset returns are linearly...

The slope of the portfolio return and consumption growth cospectrum contains predictive information about future real economic activity, future recession probabilities, the risk aversion coefficient, as well as future expected returns. Commonly used economic variables do not subsume the...

I examine the effect that the precision of securitization has on the marketquality of the underlying asset, as well as focus on the market quality of thederivative asset. With securitization, the underlying portfolio has improved liquidity, the trading intensity of an informed trader is...

I examine the optimal portfolio allocation for investors with risk frequency preferences. As an implication, the portfolio opportunity set can be uniquely constructed from a set of basis frequency structures. Factor model representations represent restrictions on the frequency structure space,...