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...
| Principais autores: | , , , |
|---|---|
| Formato: | Working paper |
| Publicado em: |
University of Oxford
2011
|
Search Result 1
