Ambiguity, risk, and asset returns in continuous time

• 成果类型: Article
• 署名作者: Chen, ZJ; Epstein, L
• 署名单位: Universite PSL; Universite Paris-Dauphine
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/1468-0262.00337
• 发表日期: 2002
• 页码: 1403-1443
• 关键词: STOCHASTIC DIFFERENTIAL-EQUATIONS; uncertainty; probabilities; consumption; definition; utility; MODEL

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.