Asset Pricing and Asymmetric Reasoning
提出不对称推理下的资产定价与投资组合选择理论，实验表明价格不反映所有推理，部分投资者因价格与自身推理不符而转为模糊厌恶，导致价格不敏感，影响定价偏差和投资组合。
We present a theory and experimental evidence on pricing and portfolio choices under asymmetric reasoning. We show that under asymmetric reasoning, prices do not reflect all (types of) reasoning. Some agents who observe prices that cannot be reconciled with their reasoning switch from perceiving the environment as risky to perceiving it as ambiguous. If they are ambiguity-averse, these agents become price-insensitive. Results from an experiment show that, consistent with the theory (i) without aggregate risk, mispricing decreases as the fraction of price-sensitive agents increases; and (ii) with aggregate risk, price-insensitive agents trade to more balanced portfolios.