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- W2114983755 abstract "A growing body of empirical evidence suggests that investors’ behavior is not well described by the traditional paradigm of (subjective) expected utility maximization under rational expectations. A literature has arisen that models agents whose choices are consistent with models that are less restrictive than the standard subjective expected utility framework. In this paper we conduct a survey of the existing literature that has explored the implications of decision-making under ambiguity for financial market outcomes, such as portfolio choice and equilibrium asset prices. We conclude that the ambiguity literature has led to a number of significant advances in our ability to rationalize empirical features of asset returns and portfolio decisions, such as the empirical failure of the two-fund separation theorem in portfolio decisions, the modest exposure to risky securities observed for a majority of investors, the home equity preference in international portfolio diversification, the excess volatility of asset returns, the equity premium and the risk-free rate puzzles, and the occurrence of trading break-downs." @default.
- W2114983755 created "2016-06-24" @default.
- W2114983755 creator A5041821369 @default.
- W2114983755 creator A5059698112 @default.
- W2114983755 date "2010-01-01" @default.
- W2114983755 modified "2023-09-23" @default.
- W2114983755 title "Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature" @default.
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