全球智库信息集成服务系统(G2TT): Long-Run Risk is the Worst-Case Scenario

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w22416
来源ID	Working Paper 22416
	Long-Run Risk is the Worst-Case Scenario
	Rhys Bidder; Ian Dew-Becker
发表日期	2016-07-18
出版年	2016
语种	英语
摘要	We study an investor who is unsure of the dynamics of the economy. Not only are parameters unknown, but the investor does not even know what order model to estimate. She estimates her consumption process nonparametrically – allowing potentially infinite-order dynamics – and prices assets using a pessimistic model that minimizes lifetime utility subject to a constraint on statistical plausibility. The equilibrium is exactly solvable and we show that the pricing model always includes long-run risks. With risk aversion of 4.7, the model matches major facts about asset prices, consumption, and dividends. The paper provides a novel link between ambiguity aversion and non-parametric estimation.
主题	Econometrics ; Estimation Methods ; Microeconomics ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w22416
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/580090
推荐引用方式 GB/T 7714	Rhys Bidder,Ian Dew-Becker. Long-Run Risk is the Worst-Case Scenario. 2016.