CORDIS Project
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This research project aims to improve financial models by incorporating ambiguity into asset pricing. By using a new mathematical framework, it seeks to better understand how uncertainty affects investment decisions, portfolio composition, and the pricing of financial options.
During the recent decade it has become commonly agreeable that existing financial models cannot explain many observable phenomena in the financial world (e.g. the recent mortgage crisis and its worldwide effects, equity premium puzzle and home bias in investing).
One flaw of the existing models is that they do not capture the entire picture of uncertainty.
This research generalizes models of asset pricing to accommodate additional tier of uncertainty, called ambiguity.
Namely, we model financial…
TEL AVIV UNIVERSITY
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