Search Results
Showing results 1 to 3 of approximately 3.
(refine search)
Discussion Paper
Some Implications of Knightian Uncertainty for Finance and Regulation
With the recession of 2008, "uncertainty" became a buzzword. Since then, economists have largely shaped how policymakers, politicians, and the general public think about uncertainty, through, among other means, models that explicitly account for uncertainty.
Discussion Paper
Bank Complexity: Is Size Everything?
Can we measure the complexity of large banks by comparing their balance sheets?
Working Paper
A Robust Capital Asset Pricing Model
We build a market equilibrium theory of asset prices under Knightian uncertainty. Adopting the mean-variance decisionmaking model of Maccheroni, Marinacci, and Ruffino (2013a), we derive explicit demands for assets and formulate a robust version of the two-fund separation theorem. Upon market clearing, all investors hold ambiguous assets in the same relative proportions as the assets' market values. The resulting uncertainty-return tradeoff is a robust security market line in which the ambiguous return on an asset is measured by its beta (systematic ambiguity). A simple example on portfolio ...