Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion

260 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

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Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis (2010, unknown): “Gollier (2011) investigates the comparative statics of more ambiguity aversion in a static two-asset portfolio problem.”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “  −  = (1− ) ∙  − (1− )(2− ) 2(1− ) (σ  ) σ − κ|σ | ̧  (53)”
The Effect of Ambiguity Aversion on Insurance and Self‐Protection (2013, unknown): “Following Gollier (2011), we show that ambiguity aversion is not equivalent to an increase in risk aversion.”
Uncertainty, Information Acquisition and Price Swings in Asset Markets (2015, background): “The literature on the impact of Knightian uncertainty and ambiguity aversion on asset prices is expanding at a fast pace (e.g., Epstein and Wang, 1994, 1995; Uppal and Wang, 2003; Maenhout, 2004; Cao, Wang and Zhang, 2005; Caballero and Krishnamurthy, 2008; Epstein and Schneider, 2008; Hansen and Sa”
Risk Preferences Around the World (2015, background): “• Rieger and Wang (2012) show that ambiguity aversion, as measured in our INTRA data, can explain parts of cross-country variations in the historical equity premium, as has been suggested by Chen and Epstein (2002) and Gollier (2011).”