近日，暨南大学经济学院金融系刘语助理教授的合作论文Volatility Ambiguity, Portfolio Decisions, and Equilibrium Asset Pricing在国际管理学顶级期刊Management Science在线发表。合作者为王浩（清华大学），张丽宏（清华大学）和王坦（上海交通大学，上海高级金融学院）。
论文摘要
This paper develops a new approach to volatility ambiguity and studies its implications for equilibrium consumption, portfolio choice, and asset prices. Our approach does not require equivalence between priors. The measure of ambiguity is based on the statistical confidence in the reference model that can be assessed with sample statistics. The approach is analytically tractable and amenable to empirical/calibration analysis. A stochastic discount pricing formula is given. At sensible levels of volatility ambiguity, the empirical regularity of equity premium and consumption growth in U.S. data can be the equilibrium outcome of our model featuring a relative risk aversion (RRA) coefficient within a reasonable range.
论文链接：doi.org/10.1287/mnsc.2022.02902
作者简介
刘语，暨南大学经济学院金融系助理教授。研究领域为理论资产定价，模糊性决策和数据资产，主要关注模型不确定性对投资决策，资产价格等方面的影响。
校对| 麦嘉杰
责编| 麦嘉杰
初审| 孙 兰
复审| 唐庆峰
终审发布| 何凌云
（来源：暨南大学经济学院微信公众号）
