We find that about 97% of the mean–variance premium can be attributed to ambiguity aversion. A three-way separation among ambiguity aversion, risk aversion, and intertemporal substitution, permitted by the smooth ambiguity preferences, plays a key role in our model's quantitative performance....
We find that about 96 percent of the mean variance premium can be attributed to ambiguity aversion. Applying the model to historical consumption data, we find that variance premium mostly captures depressions, deep recessions, and financial panics, with a post war peak in 2009. 展开 ...
It is also interesting to observe that the expression of the optimal robust reinsurance strategy is independent of the penalty parameter and coincides with the one in the benchmark case without ambiguity. Finally, some numerical examples are presented to illustrate the effect of ambiguity aversion on...
Furthermore, we find that the conditions of comparative ambiguity aversion and downside ambiguity aversion defined by the monetary premium are the same as those defined by the utility premium. This finding is different from the results on risks in the literature, such as those of Jindapon and ...
The ambiguity set of different players is not necessarily identical, yielding a market with potentially heterogeneous ambiguity aversion. Built upon recent developments in the field of Wasserstein distributionally robust chance-constrained optimization, each ambiguity-averse player maximizes her own expected ...
Prior studies mainly focus on aversion to ambiguity rather than on quantifying ambiguity (e.g., Bossaerts et al., 2010). Yet, several approaches to estimating ambiguity have been proposed. Dow and Werlang (1992) measure ambiguity by the sum of the nonadditive probabilities. Baillon et al. (20...
We conduct a bibliometric analysis and review the literature of the last six decades on ambiguity aversion. Comparing trends in theoretical, experimental, and empirical contributions, our study presents the main aspects that are discussed in this literature. We show the increasing relevance of ambiguity...
securities observed for a majority of investors, the home equity preference in international portfolio diversification, the excess volatility of asset returns, the equity premiumand the risk-free rate puzzles, and the occurrence of trading break-downs. Keywords Ambiguity · Ambiguity-aversion · ...
Ambiguity aversion and variance premium. Working Paper.Miao, J., Wei, B., Zhou, H., 2012. Ambiguity aversion and variance premium. Working Paper, Boston University, Federal Reserve Board, and Tsinghua University.Miao J., Wei B., Zhou, H. (2012), "Ambiguity Aversion and Variance Premium"...
Zhou (2012), Ambiguity Aversion and Variance Premium, Working Paper, Federal Reserve Board.Miao, J., Wei, B., & Zhou, H. (2012). Ambiguity aversion and variance premium. Unpublished manuscript.Miao, Jianjun, Bin Wei, and Hao Zhou. (2012) "Ambiguity Aversion and Variance Premium." Working...