Asset pricing in a Lucas fruit-tree economy with the best and worst in mind (Q433373): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(4 intermediate revisions by 4 users not shown) | |||
Property / review text | |||
This paper studies a Lucas fruit-tree economy under the assumption that the agents are Choquet expected utility rather than standard utility decision makers. In contrast to existing models of Lucas-type economies with ambiguity averse agents, this approach gives up dynamic consistency to the effect that quite general ambiguity attitudes become admissible. As the main formal result it establishes the existence of a unique stationary equilibrium price function for this Choquet expected utility Lucas economy. As the main economic insight it obtains a representative agent who is rather preoccupied with the worst case scenario gives rise to a lower risk-free rate and a higher equity premium than predicted by the original expected utility Lucas economy. This difference is the greater the more surpricing the economic information is that the agent receives. | |||
Property / review text: This paper studies a Lucas fruit-tree economy under the assumption that the agents are Choquet expected utility rather than standard utility decision makers. In contrast to existing models of Lucas-type economies with ambiguity averse agents, this approach gives up dynamic consistency to the effect that quite general ambiguity attitudes become admissible. As the main formal result it establishes the existence of a unique stationary equilibrium price function for this Choquet expected utility Lucas economy. As the main economic insight it obtains a representative agent who is rather preoccupied with the worst case scenario gives rise to a lower risk-free rate and a higher equity premium than predicted by the original expected utility Lucas economy. This difference is the greater the more surpricing the economic information is that the agent receives. / rank | |||
Normal rank | |||
Property / reviewed by | |||
Property / reviewed by: Klaus Ehemann / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B25 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B16 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6055935 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Choquet expected utility | |||
Property / zbMATH Keywords: Choquet expected utility / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
portfolio choice | |||
Property / zbMATH Keywords: portfolio choice / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
fat tails | |||
Property / zbMATH Keywords: fat tails / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
asset prizing puzzle | |||
Property / zbMATH Keywords: asset prizing puzzle / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
equity premium | |||
Property / zbMATH Keywords: equity premium / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
risk free rate | |||
Property / zbMATH Keywords: risk free rate / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.jedc.2011.11.006 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2056126779 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A Definition of Subjective Probability / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The impact of fat tails on equilibrium rates of return and term premia / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Asset pricing with incomplete information and fat tails / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Discounted Dynamic Programming / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3853587 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Choice under uncertainty with the best and worst in mind: Neo-additive capacities / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4794153 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: \(E\)-capacities and the Ellsberg paradox / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Updating Choquet beliefs / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Risk, Ambiguity, and the Savage Axioms / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A Definition of Uncertainty Aversion / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Dynamically consistent beliefs must be Bayesian / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Recursive multiple-priors. / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Intertemporal Asset Pricing under Knightian Uncertainty / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Revisiting savage in a conditional world / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Ambiguity made precise: A comparative foundation / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Expected utility with purely subjective non-additive probabilities / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Maxmin expected utility with non-unique prior / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Updating ambiguous beliefs / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Consequentialist foundations for expected utility / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Robust Permanent Income and Pricing / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Robust control and model misspecification / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Prospect Theory: An Analysis of Decision under Risk / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Dynamic portfolio choice under ambiguity and regime switching mean returns / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Asset Prices in an Exchange Economy / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Risk, uncertainty, and option exercise / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A rule for updating ambiguous beliefs / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A Simple Axiomatization of Nonadditive Expected Utility / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Revealed likelihood and Knightian uncertainty / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Dynamic choice and nonexpected utility / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5732164 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Integral Representation Without Additivity / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Subjective Probability and Expected Utility without Additivity / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Dynamic choice under ambiguity / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Advances in prospect theory: cumulative representation of uncertainty / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Prospect Theory / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: An axiomatization of cumulative prospect theory / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Do Bayesians Learn Their Way Out of Ambiguity? / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On attitude polarization under Bayesian learning with non-additive beliefs / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 11:54, 5 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Asset pricing in a Lucas fruit-tree economy with the best and worst in mind |
scientific article |
Statements
Asset pricing in a Lucas fruit-tree economy with the best and worst in mind (English)
0 references
13 July 2012
0 references
This paper studies a Lucas fruit-tree economy under the assumption that the agents are Choquet expected utility rather than standard utility decision makers. In contrast to existing models of Lucas-type economies with ambiguity averse agents, this approach gives up dynamic consistency to the effect that quite general ambiguity attitudes become admissible. As the main formal result it establishes the existence of a unique stationary equilibrium price function for this Choquet expected utility Lucas economy. As the main economic insight it obtains a representative agent who is rather preoccupied with the worst case scenario gives rise to a lower risk-free rate and a higher equity premium than predicted by the original expected utility Lucas economy. This difference is the greater the more surpricing the economic information is that the agent receives.
0 references
Choquet expected utility
0 references
portfolio choice
0 references
fat tails
0 references
asset prizing puzzle
0 references
equity premium
0 references
risk free rate
0 references
0 references
0 references
0 references