Ambiguity, risk, and asset returns in continuous time

被引：560

作者：

Chen, ZJ ^{[1
]}

Epstein, L ^{[1
]}

机构：

[1] Univ Paris 09, F-75775 Paris 16, France

来源：

ECONOMETRICA | 2002年 / 70卷 / 04期

关键词：

ambiguity; asset pricing; backward stochastic differential equations; recursive utility; continuous-time;

D O I：

10.1111/1468-0262.00337

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Models of utility in stochastic continuous-time settings typically assume that beliefs are represented by a probability measure, hence ruling out a priori any concern with ambiguity. This paper formulates a continuous-time intertemporal version of multiple-priors utility, where aversion to ambiguity is admissible. In a representative agent asset market setting, the model delivers restrictions on excess returns that admit interpretations reflecting a premium for risk and a separate premium for ambiguity.

引用

页码：1403 / 1443

页数：41

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