Ambiguity Aversion and the Variance Premium
This paper offers an ambiguity-based interpretation of the variance premium - the difference between risk-neutral and objective expectations of market return variance - as a compounding effect of both belief distortion and variance differential regarding the uncertain economic regimes. Our calibrate...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
World Scientific Publishing Co. Pte Ltd
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |