A simple robust asset pricing model under statistical ambiguity

DOI10.1080/14697688.2021.2020887zbMATH Open1491.91151OpenAlexW4226253585MaRDI QIDQ5079377FDOQ5079377

Authors: Luis García-Feijóo, Ariel M. Viale 

Publication date: 27 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2021.2020887

Recommendations

• Asset prices in an ambiguous economy
• Good deals and benchmarks in robust portfolio selection
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Dynamic portfolio selection with mispricing and model ambiguity
• Alpha as ambiguity: robust mean-variance portfolio analysis

zbMATH Keywords

CAPMmaximum entropyasset pricingrobust Bayesian analysisstatistical ambiguity

Mathematics Subject Classification ID

Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Maxmin expected utility with non-unique prior
• Why least squares and maximum entropy? An axiomatic approach to inference for linear inverse problems
• Risk, ambiguity and the Savage axioms
• Information Theory and Statistical Mechanics
• Subjective Probability and Expected Utility without Additivity
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• A Smooth Model of Decision Making under Ambiguity
• Recursive smooth ambiguity preferences
• Advances in prospect theory: cumulative representation of uncertainty
• Recent developments in modeling preferences: Uncertainty and ambiguity
• Recursive multiple-priors.
• Dynamic variational preferences
• Expectation in economics
• Entropy and predictability of stock market returns.
• Game theory, maximum entropy, minimum discrepancy and robust Bayesian decision theory
• Estimating ambiguity aversion in a portfolio choice experiment
• Information acquisition and under-diversification
• Axiomatic derivation of the principle of maximum entropy and the principle of minimum cross-entropy
• Intertemporal Asset Pricing under Knightian Uncertainty
• Safety First and the Holding of Assets
• Decision Makers as Statisticians: Diversity, Ambiguity, and Learning
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Ambiguity and rational expectations equilibria
• Robustness
• Ambiguity in asset pricing and portfolio choice: a review of the literature
• GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS
• Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
• The robust Merton problem of an ambiguity averse investor
• Ambiguity and robust statistics
• Robust risk measurement and model risk
• Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
• Title not available (Why is that?)

Cited In (9)

• Entropy augmented asset pricing model: study on Indian stock market
• Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM
• A robust rational route to randomness in a simple asset pricing model
• Knightian uncertainty emotion of investors and the huge fluctuations of stock market
• Gain-loss pricing under ambiguity of measure
• Capital asset pricing model under distribution uncertainty
• REEXAMINATION OF THE ROBUSTNESS OF THE FAMA-FRENCH THREE-FACTOR MODEL
• Robustness of the market model
• Quantifying ambiguity bounds via time-consistent sets of indistinguishable models

This page was built for publication: A simple robust asset pricing model under statistical ambiguity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5079377)