Asset Pricing Implications of Ambiguity-sensitive Decision Models

模糊性敏感决策模型的资产定价含义

基本信息

  • 批准号:
    277066304
  • 负责人:
  • 金额:
    --
  • 依托单位:
  • 依托单位国家:
    德国
  • 项目类别:
    Research Fellowships
  • 财政年份:
    2015
  • 资助国家:
    德国
  • 起止时间:
    2014-12-31 至 2015-12-31
  • 项目状态:
    已结题

项目摘要

Expected Utility is the predominant decision model in finance and economics, especially in asset pricing theory. It assumes that investors abstract away from ambiguity, i.e. uncertainty about the true probability distribution of future cash flows. However, in experiments subjects show aversion against ambiguity. Moreover, recent empirical evidence points to large ambiguity premia in stock returns. Several ambiguity-sensitive extensions of the expected utility decision model have been proposed and analyzed in the context of general equilibrium asset pricing models. The aim of the proposed project is to contrast the qualitative predictions of the most prominent and most promising ambiguity-sensitive decision models for stock and bond returns in a unified setting. The results will deepen the understanding of the mechanisms by which the models generate ambiguity premia and enable the derivation of testable hypothesis which can ultimately be used to assess the models' capabilities to answer some fundamental questions in the field of asset pricing.
期望效用是金融学、经济学、特别是资产定价理论中最重要的决策模型。它假设投资者从模糊性中抽象出来,即对未来现金流真实概率分布的不确定性。然而,在实验中,受试者表现出对模糊性的厌恶。此外,最近的经验证据表明,股票收益率存在很大的模糊溢价。在一般均衡资产定价模型的背景下,提出并分析了期望效用决策模型的几个模糊敏感扩展。该项目的目的是对比最突出的和最有前途的模糊敏感的决策模型的股票和债券收益率在一个统一的设置的定性预测。研究结果将加深对模型产生模糊溢价的机制的理解,并使可检验假设的推导成为可能,最终可用于评估模型回答资产定价领域一些基本问题的能力。

项目成果

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Professor Dr. Julian Thimme其他文献

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