Robust general equilibrium under stochastic volatility model

被引：12
|
作者：
Xu, Weidong [1 ]
Wu, Chongfeng [1 ]
Li, Hongyi [2 ]
机构：
[1] Shanghai Jiao Tong Univ, Financial Engn Res Ctr, Shanghai 200052, Peoples R China
[2] Chinese Univ Hong Kong, Fac Business Adm, Shatin, Hong Kong, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2010年 / 7卷 / 04期
基金：
中国国家自然科学基金;
关键词：
General equilibrium; Robust control; Stochastic volatility model; Equity premium; HETEROGENEOUS BELIEFS; EXCHANGE ECONOMY; PORTFOLIO RULES; ASSET PRICES; UNCERTAINTY; CONSUMPTION; OPTIONS; PREMIA; RISK;
D O I：
10.1016/j.frl.2010.05.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper studies the implications of model uncertainty under stochastic volatility model for equilibrium asset pricing. We derive the equilibrium equity premium and risk-free rate in a pure-exchange economy with one representative agent who is averse not only to risk but also to model uncertainty. The results show that robustness increases the equilibrium equity premium while lowers the risk-free rate. (C) 2010 Elsevier Inc. All rights reserved.
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页码：224 / 231
页数：8
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