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A Factor Pricing Model under Ambiguity:A Multi-Period Framework

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  • Katsutoshi WAKAI

Abstract

This paper is a multi-period extension of the factor pricing model under ambiguity as developed by Wakai (2018).

Suggested Citation

  • Katsutoshi WAKAI, 2023. "A Factor Pricing Model under Ambiguity:A Multi-Period Framework," Discussion papers e-22-012, Graduate School of Economics , Kyoto University.
    • Handle: RePEc:kue:epaper:e-22-012
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    File URL: http://www.econ.kyoto-u.ac.jp/dp/papers/e-22-012.pdf
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    References listed on IDEAS

    as
    1. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
    2. Katsutoshi Wakai, 2018. "A Factor Pricing Model under Ambiguity," Discussion papers e-17-012, Graduate School of Economics , Kyoto University.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Ambiguity aversion; asset pricing; factor pricing;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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