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Capital Asset Pricing Under Ambiguity

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  • Yehuda Izhakian
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    File URL: http://web-docs.stern.nyu.edu/old_web/economics/docs/workingpapers/2012/Izhakian-CapitalAssetPricing_Feb2012.pdf
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    Bibliographic Info

    Paper provided by New York University, Leonard N. Stern School of Business, Department of Economics in its series Working Papers with number 12-02.

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    Date of creation: 2012
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    Handle: RePEc:ste:nystbu:12-02

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    Postal: New York University, Leonard N. Stern School of Business, Department of Economics, 44 West 4th Street, New York, NY 10012-1126
    Phone: (212) 998-0860
    Fax: (212) 995-4218
    Web page: http://w4.stern.nyu.edu/economics/
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    1. Nengjiu Ju & Jianjun Miao, 2010. "Ambiguity, Learning, and Asset Returns," CEMA Working Papers 438, China Economics and Management Academy, Central University of Finance and Economics.
    2. Lars Ljungqvist & Thomas J. Sargent, 2004. "Recursive Macroeconomic Theory, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026212274x.
    3. Marco Taboga, 2005. "Portfolio Selection with Two-Stage Preferences," Finance 0506009, EconWPA.
    4. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen.
    5. Markus Leippold & Fabio Trojani & Paolo Vanini, 2008. "Learning and Asset Prices Under Ambiguous Information," Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2565-2597, November.
    6. Georg Pflug & David Wozabal, 2007. "Ambiguity in portfolio selection," Quantitative Finance, Taylor and Francis Journals, vol. 7(4), pages 435-442.
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