Equilibrium Alpha in Asset Pricing in an Ambiguity-averse Economy
Discussion papers from Graduate School of Economics , Kyoto University
We derive an equilibrium asset pricing relation analogous to the cap-ital asset pricing model (CAPM) for investors whose preferences follow the robust mean-variance preferences introduced by Maccheroni, Mari-nacci, and Ru￠ no (2013). Our model de?nes a precise relation between the value of alpha from the market regression and ambiguity: alpha is positive if the asset has greater exposure to market ambiguity than market risk, and vice versa.
Keywords: Ambiguity aversion; asset pricing; capital asset pricing model (CAPM); robust mean-variance preferences (search for similar items in EconPapers)
JEL-codes: D81 G11 G12 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:kue:epaper:e-15-010
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