A Factor Pricing Model under Ambiguity
Discussion papers from Graduate School of Economics , Kyoto University
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)
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kue:epaper:e-17-012
Access Statistics for this paper
More papers in Discussion papers from Graduate School of Economics , Kyoto University Contact information at EDIRC.
Bibliographic data for series maintained by Graduate School of Economics Project Center ().