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...
| Hlavní autoři: | , , , |
|---|---|
| Médium: | Working paper |
| Vydáno: |
University of Oxford
2011
|