Model Uncertainty Effect on Asset Prices

被引:1
|
作者
Jiang, Junya [1 ]
Tian, Weidong [1 ]
机构
[1] Univ North Carolina Charlotte, Belk Coll Business, Charlotte, NC 28223 USA
关键词
INCREASING RISK; DISAPPOINTMENT; VOLATILITY; ECONOMIES; ARBITRAGE; PROSPECT; CHOICE;
D O I
10.1111/irfi.12118
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We develop a weighted-average approach of pricing under model uncertainty, where several plausible models are considered instead of a perfect one. The model uncertainty effect from this weighted-average approach is significantly different from the conventional wisdom, in which the true price must be bounded by prices in all plausible models. We identify under what circumstances the model uncertainty effect is significant and reveal serious risk management challenges for researchers, regulators, and market participants.
引用
收藏
页码:205 / 233
页数:29
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