Ambiguity and asset markets
By: Larry G. Epstein, Martin Schneider
Contributors: Schneider, Martin; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16181; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16181.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "The Ellsberg paradox suggests that people behave differently in risky situations -- when they are given objective probabilities -- than in ambiguous situations when they are not told the odds (as is typical in financial markets).  Such behavior is inconsistent with subjective expected utility theory (SEU), the standard model of choice under uncertainty in financial economics.  This article reviews models of ambiguity aversion.  It shows that such models -- in particular, the multiple-priors model of Gilboa and Schmeidler -- have implications for portfolio choice and asset pricing that are very different from those of SEU and that help to explain otherwise puzzling features of the data"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 8/19/2010.

Includes bibliographical references.

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