| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16181 |
| 来源ID | Working Paper 16181 |
| Ambiguity and Asset Markets | |
| Larry G. Epstein; Martin Schneider | |
| 发表日期 | 2010-07-08 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | The Ellsberg paradox suggests that people behave differently in risky situations -- when they are given objective probabilities -- than in ambiguous situations when they are not told the odds (as is typical in financial markets). Such behavior is inconsistent with subjective expected utility theory (SEU), the standard model of choice under uncertainty in financial economics. This article reviews models of ambiguity aversion. It shows that such models -- in particular, the multiple-priors model of Gilboa and Schmeidler -- have implications for portfolio choice and asset pricing that are very different from those of SEU and that help to explain otherwise puzzling features of the data. |
| 主题 | Microeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16181 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573854 |
| 推荐引用方式 GB/T 7714 | Larry G. Epstein,Martin Schneider. Ambiguity and Asset Markets. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16181.pdf（437KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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