Ambiguity and the historical equity premium
This paper assesses the quantitative impact of ambiguity on the historically observed financial asset returns and prices. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's am...
| Hoofdauteurs: | , , , |
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| Formaat: | Working paper |
| Gepubliceerd in: |
University of Oxford
2011
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