Ambiguity and Asset Markets¶
Epstein, & Schneider. (2010). Ambiguity and Asset Markets. Annual Review of Financial Economics.
Cited by¶
1 citation across 1 artifact.
Each citation links to the sentence it supports in the citing article.
Domain-specific¶
- Ellsberg Paradox
- Decision theory beyond Savage / expected utility — the home turf: the entry test every generalisation of expected utility must pass (Choquet expected utility, maxmin over a set of priors, alpha-maxmin, smooth-ambiguity, variational preferences), admitting models that reproduce the two-urn pattern and ruling out those that cannot. Asset pricing — ambiguity premia help explain the equity premium puzzle, home bias, and limited stock-market participation, as investors demand extra compensation to hold assets whose probability structure is unpinned.
This sourceEpstein and Schneider's review of ambiguity-aversion models, which decompose measured returns into a risk premium and an ambiguity premium, derive nonparticipation in markets under ambiguity, and hold such models out as promising for the equity-premium and excess-volatility puzzles.
Supported in partVerified against the work's full text
“models of ambiguity aversion hold promise for resolving the equity premium and excess”
- Decision theory beyond Savage / expected utility — the home turf: the entry test every generalisation of expected utility must pass (Choquet expected utility, maxmin over a set of priors, alpha-maxmin, smooth-ambiguity, variational preferences), admitting models that reproduce the two-urn pattern and ruling out those that cannot. Asset pricing — ambiguity premia help explain the equity premium puzzle, home bias, and limited stock-market participation, as investors demand extra compensation to hold assets whose probability structure is unpinned.
Verification¶
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Registry ID ref:3b168e820034 · see in the full table