The Uncertainty Premium in an Ambiguous Economy

被引：11
|
作者：
Izhakian, Yehuda [1 ]
Benninga, Simon [2 ]
机构：
[1] NYU, Stern Sch Business, New York, NY 10003 USA
[2] Tel Aviv Univ, Fac Management, Tel Aviv, Israel
来源：
QUARTERLY JOURNAL OF FINANCE | 2011年 / 1卷 / 02期
关键词：
Uncertainty; risk; ambiguity; risk aversion; ambiguity aversion; utility; premium;
D O I：
10.1142/S2010139211000109
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The uncertainty premium is the premium that is derived from not knowing the sure outcome (risk premium) and from not knowing the precise odds of outcomes (ambiguity premium). We generalize Pratt's risk premium to uncertainty premium based on Klibanoff et al.' s (2005) smooth model of ambiguity. We show that the uncertainty premium can decrease with an increase in decision maker's risk aversion. This happens because increasing risk aversion always results in a lower ambiguity premium. The positive ambiguity premium may provide an additional explanation to the equity premium puzzle.
引用
收藏
页码：323 / 354
页数：32
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