On Equilibrium Pricing under Parameter Uncertainty
在基于收益的模型中分析非对称参数不确定性，并探讨协方差矩阵需估计时对称与非对称估计风险对均衡资产价格的影响，还研究了多期模型中的非对称参数不确定性效应。
Prior theoretical work on estimation risk generally has been restricted to single-period, returns-based models in which the investor must estimate the vector of expected returns but the covariance matrix is known. This paper extends the literature on parameter uncertainty in several ways. First, we analyze asymmetric parameter uncertainty in a model based on payoffs. Second, we explore the effects of both symmetric and asymmetric estimation risk on equilibrium asset prices when the covariance matrix for payoffs must also be estimated. Finally, we investigate the effects on equilibrium of asymmetric parameter uncertainty in a simple multiperiod model.