文件大小:未知
级别评定:★★★★★
添加时间:2016-08-06 21:34:51
最后更新:2016-08-06 21:36:18
下载积分:0分 (只有会员文件下载时才需要相应积分验证)
总浏览:
总下载:0
发布人:george15135
NBER Working Paper No. 22416
Issued in July 2016
We study an investor who is unsure of the dynamics of the economy. Not only are parameters unknown, but the investor does not even know what order model to estimate. She estimates her consumption process nonparametrically – allowing potentially infinite-order dynamics – and prices assets using a pessimistic model that minimizes lifetime utility subject to a constraint on statistical plausibility. The equilibrium is exactly solvable and we show that the pricing model always includes long-run risks. With risk aversion of 4.7, the model matches major facts about asset prices, consumption, and dividends. The paper provides a novel link between ambiguity aversion and non-parametric estimation.