Ambiguous Information, Risk Aversion, and Asset Pricing

1 January 2009

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.1364296

Abstract

I study the effects of aversion to risk and ambiguity (uncertainty in the sense of Knight (1921)) on the value of the market portfolio when investors receive pu

Keywords

AMBIGUOUS INFORMATION
RISK AVERSION
INVESTORS RECEIVE
RECEIVE PU
ASSET PRICING
MARKET PORTFOLIO

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