Ambiguity, risk, and asset returns in continuous time

被引：529
|
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
收藏
页码：1403 / 1443
页数：41
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