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A Factor Pricing Model under Ambiguity

Katsutoshi Wakai

Discussion papers from Graduate School of Economics , Kyoto University

Abstract: We derive a factor pricing model under the economy where the representative agents preferences follow the smooth model of decision making under ambiguity as proposed by Klibano¤, Marinacci, and Mukerji (2005). A newly derived factor is called an ambiguity factor that captures a component of returns generated by ambigu- ity aversion.

Keywords: Ambiguity aversion; asset pricing; factor pricing (search for similar items in EconPapers)
JEL-codes: D81 G11 G12 (search for similar items in EconPapers)
Pages: 31
New Economics Papers: this item is included in nep-upt
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