Add to ORKGThis paper investigates the implications of model uncertainty for the equity premium in a stochastic volatility model. We consider a general equilibrium setting with one representative agent who has a stochastic differential utility. The results show that the equilibrium equity premium consists of a market risk premium, a stochastic volatility risk premium and an uncertainty aversion premium. Further, the robustness can increase the equilibrium equity premium and drive down the equilibrium risk-free rate
The focus of our paper is on the implications of model uncertainty for the cross-sectional propertie...
This thesis studies equilibrium asset prices and variance risk premia (VRP) with three classes of ...
This paper studies the quantitative implications of the interaction between robust con-trol and stoc...
Uncertainty plays a key role in economics, finance, and decision sciences. Financial mar-kets, in pa...
This paper considers the measurement of the equity risk premium in financial markets from a new pers...
In this paper we examine the effect of stochastic volatility on optimal portfolio choice in both par...
Abstract This paper modifies the conventional representative-agent consumption-based equilibrium...
A consumption-based asset pricing model with risk and uncertainty implies that the time-varying expo...
Motivated by the implications from a stylized self-contained general equilibrium model incorporating...
This paper considers a general equilibrium model in which the distinction between uncertainty and ri...
We incorporate risk premiums for stochastic implied volatility in an arbitrage-free model describing...
Uncertainty plays a key role in economics, finance, and decision sciences. Finan-cial markets, in pa...
This paper examines the extent to which the equity premium puzzle can be resolved by taking account ...
This paper studies the equity premium and option pricing under the general equilibrium framework tak...
The common thread that runs through my research is the implication of volatility dynamics for option...
The focus of our paper is on the implications of model uncertainty for the cross-sectional propertie...
This thesis studies equilibrium asset prices and variance risk premia (VRP) with three classes of ...
This paper studies the quantitative implications of the interaction between robust con-trol and stoc...
Uncertainty plays a key role in economics, finance, and decision sciences. Financial mar-kets, in pa...
This paper considers the measurement of the equity risk premium in financial markets from a new pers...
In this paper we examine the effect of stochastic volatility on optimal portfolio choice in both par...
Abstract This paper modifies the conventional representative-agent consumption-based equilibrium...
A consumption-based asset pricing model with risk and uncertainty implies that the time-varying expo...
Motivated by the implications from a stylized self-contained general equilibrium model incorporating...
This paper considers a general equilibrium model in which the distinction between uncertainty and ri...
We incorporate risk premiums for stochastic implied volatility in an arbitrage-free model describing...
Uncertainty plays a key role in economics, finance, and decision sciences. Finan-cial markets, in pa...
This paper examines the extent to which the equity premium puzzle can be resolved by taking account ...
This paper studies the equity premium and option pricing under the general equilibrium framework tak...
The common thread that runs through my research is the implication of volatility dynamics for option...
The focus of our paper is on the implications of model uncertainty for the cross-sectional propertie...
This thesis studies equilibrium asset prices and variance risk premia (VRP) with three classes of ...
This paper studies the quantitative implications of the interaction between robust con-trol and stoc...