主  題:Financial Uncertainty with Ambiguity and Learning

內(nèi)容簡(jiǎn)介:We examine a production-based asset pricing model with regime-switching productivity growth, learning and ambiguity. Both mean and volatility of the growth rate of productivity are assumed to follow a Markov chain with an unobservable state. The agent's preferences are characterized by the generalized recursive smooth ambiguity utility function.

Our calibrated benchmark model with modest risk aversion can match moments of the variance risk premium in the data and reconcile empirical relations between the risk-neutral variance and macroeconomic quantities and their volatilities respectively.

We show that the interplay between productivity volatility risk and ambiguity aversion is important for pricing variance risk in returns.

報(bào)告人:劉赫寧      教授

時(shí)  間:2019-04-09    14:00

地  點(diǎn):位育樓117

舉辦單位:金融學(xué)院  科研部  經(jīng)濟(jì)與金融研究院