Matches in SemOpenAlex for { <https://semopenalex.org/work/W2270461970> ?p ?o ?g. }
- W2270461970 endingPage "2527" @default.
- W2270461970 startingPage "2494" @default.
- W2270461970 abstract "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 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 nonparametric estimation. (JEL D11, D12, D81, G11, G12)" @default.
- W2270461970 created "2016-06-24" @default.
- W2270461970 creator A5001980996 @default.
- W2270461970 creator A5056939347 @default.
- W2270461970 date "2016-09-01" @default.
- W2270461970 modified "2023-09-26" @default.
- W2270461970 title "Long-Run Risk Is the Worst-Case Scenario" @default.
- W2270461970 cites W1574274413 @default.
- W2270461970 cites W1965087139 @default.
- W2270461970 cites W1968756969 @default.
- W2270461970 cites W1992403182 @default.
- W2270461970 cites W1997927852 @default.
- W2270461970 cites W1999128778 @default.
- W2270461970 cites W2002207054 @default.
- W2270461970 cites W2004220372 @default.
- W2270461970 cites W2011696830 @default.
- W2270461970 cites W2027047704 @default.
- W2270461970 cites W2034946940 @default.
- W2270461970 cites W2057609912 @default.
- W2270461970 cites W2065954163 @default.
- W2270461970 cites W2067477904 @default.
- W2270461970 cites W2071212004 @default.
- W2270461970 cites W2092034922 @default.
- W2270461970 cites W2093230975 @default.
- W2270461970 cites W2099227715 @default.
- W2270461970 cites W2103066485 @default.
- W2270461970 cites W2109465817 @default.
- W2270461970 cites W2110802648 @default.
- W2270461970 cites W2116026418 @default.
- W2270461970 cites W2122784564 @default.
- W2270461970 cites W2130570312 @default.
- W2270461970 cites W2131387435 @default.
- W2270461970 cites W2132717186 @default.
- W2270461970 cites W2132807882 @default.
- W2270461970 cites W2136617164 @default.
- W2270461970 cites W2137296414 @default.
- W2270461970 cites W2148668590 @default.
- W2270461970 cites W2154738336 @default.
- W2270461970 cites W2157614818 @default.
- W2270461970 cites W2168308822 @default.
- W2270461970 cites W2177670937 @default.
- W2270461970 cites W2219722162 @default.
- W2270461970 cites W2240968826 @default.
- W2270461970 cites W2570834760 @default.
- W2270461970 cites W3022248719 @default.
- W2270461970 cites W3023739323 @default.
- W2270461970 cites W3121302379 @default.
- W2270461970 cites W3121588848 @default.
- W2270461970 cites W3121687915 @default.
- W2270461970 cites W3122020290 @default.
- W2270461970 cites W3122414763 @default.
- W2270461970 cites W3122433429 @default.
- W2270461970 cites W3122592429 @default.
- W2270461970 cites W3123661715 @default.
- W2270461970 cites W3123762723 @default.
- W2270461970 cites W3123868759 @default.
- W2270461970 cites W3123952677 @default.
- W2270461970 cites W3123986693 @default.
- W2270461970 cites W3124430593 @default.
- W2270461970 cites W3124486855 @default.
- W2270461970 cites W3124536539 @default.
- W2270461970 cites W3124906040 @default.
- W2270461970 cites W3125394587 @default.
- W2270461970 cites W3126137871 @default.
- W2270461970 cites W4241026100 @default.
- W2270461970 doi "https://doi.org/10.1257/aer.20150585" @default.
- W2270461970 hasPublicationYear "2016" @default.
- W2270461970 type Work @default.
- W2270461970 sameAs 2270461970 @default.
- W2270461970 citedByCount "34" @default.
- W2270461970 countsByYear W22704619702016 @default.
- W2270461970 countsByYear W22704619702017 @default.
- W2270461970 countsByYear W22704619702018 @default.
- W2270461970 countsByYear W22704619702019 @default.
- W2270461970 countsByYear W22704619702020 @default.
- W2270461970 countsByYear W22704619702021 @default.
- W2270461970 countsByYear W22704619702022 @default.
- W2270461970 countsByYear W22704619702023 @default.
- W2270461970 crossrefType "journal-article" @default.
- W2270461970 hasAuthorship W2270461970A5001980996 @default.
- W2270461970 hasAuthorship W2270461970A5056939347 @default.
- W2270461970 hasBestOaLocation W22704619702 @default.
- W2270461970 hasConcept C10138342 @default.
- W2270461970 hasConcept C102366305 @default.
- W2270461970 hasConcept C106159729 @default.
- W2270461970 hasConcept C116168712 @default.
- W2270461970 hasConcept C127447990 @default.
- W2270461970 hasConcept C129915516 @default.
- W2270461970 hasConcept C144024400 @default.
- W2270461970 hasConcept C144237770 @default.
- W2270461970 hasConcept C149782125 @default.
- W2270461970 hasConcept C162324750 @default.
- W2270461970 hasConcept C175444787 @default.
- W2270461970 hasConcept C181236170 @default.
- W2270461970 hasConcept C182306322 @default.
- W2270461970 hasConcept C199360897 @default.
- W2270461970 hasConcept C205706631 @default.
- W2270461970 hasConcept C2524010 @default.