Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility
模糊性重要吗？多重先验递归效用资产定价模型的估计
This paper considers asset pricing models with stochastic differential utility incorporating decision makers׳ concern with ambiguity on true probability measure. Under a representative agent setting, we empirically evaluate alternative preference specifications including a multiple-priors recursive utility. We find that relative risk aversion is estimated around 1–8 with ambiguity aversion and 7.4–15 without ambiguity aversion. Estimated ambiguity aversion is both…