Volatility Ambiguity, Portfolio Decisions, and Equilibrium Asset Pricing

• 成果类型: Article
• 署名作者: Liu, Yu; Wang, Hao; Wang, Tan; Zhang, Lihong
• 署名单位: Jinan University; Jinan University; Tsinghua University; Shanghai Jiao Tong University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.02902
• 发表日期: 2025
• 关键词: Maxmin expected utility; variance-covariance ambiguity; prior equivalence; equity premium

摘要

This paper develops a new approach to volatility ambiguity and studies its implications for equilibrium consumption, portfolio choice, and asset prices. Our approach does not require equivalence between priors. The measure of ambiguity is based on the statistical confidence in the reference model that can be assessed with sample statistics. The approach is analytically tractable and amenable to empirical/calibration analysis. A stochastic discount pricing formula is given. At sensible levels of volatility ambiguity, the empirical regularity of equity premium and consumption growth in U.S. data can be the equilibrium outcome of our model featuring a relative risk aversion (RRA) coefficient within a reasonable range.