Financial Uncertainty with Ambiguity and Learning
研究了一个包含体制转换生产率增长、学习和模糊性的生产型资产定价模型，发现生产率波动风险与模糊性厌恶的相互作用对回报的方差风险定价很重要。
We examine a production-based asset pricing model with regime-switching productivity growth, learning, and ambiguity. Both the 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 respective volatilities. We show that the interplay between productivity volatility risk and ambiguity aversion is important for pricing variance risk in returns. This paper was accepted by Tomasz Piskorski, finance.