On Identification of Ambiguity Premium

Katsutoshi Wakai

Discussion papers from Graduate School of Economics , Kyoto University

Abstract: Based on the smooth model of decision making under ambiguity as proposed by Klibanoff, Marinacci, and Mukerji (2005, 2009), we derive a method that selects assets whose regression constant from the factor regression captures ambiguity premium.

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: 14
Date: 2019-03
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.econ.kyoto-u.ac.jp/dp/papers/e-18-009.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kue:epaper:e-18-009

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 ().