Ambiguity and the historical equity premium

Ambiguity and the historical equity premium

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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...

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Библиографические подробности
Главные авторы:	Mukerji, S, Sheppard, K, Collard, F, Tallon, J
Формат:	Working paper
Опубликовано:	University of Oxford 2011

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