Observational equivalence and nonequivalence of subjective and robust mean–variance preferences

Katsutoshi Wakai

Economics Letters, 2014, vol. 124, issue 2, 219-221

Abstract: We identify the conditions where robust mean–variance preferences, which capture ambiguity aversion, are observationally nonequivalent to subjective mean–variance preferences. Conversely, we also provide an example showing that observational equivalence holds regardless of the degree of ambiguity aversion.

Keywords: Ambiguity aversion; Asset pricing; Robust mean–variance preferences (search for similar items in EconPapers)
JEL-codes: D81 G11 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:124:y:2014:i:2:p:219-221

DOI: 10.1016/j.econlet.2014.05.019

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