Financial Uncertainty with Ambiguity and Learning

We examine a production-based asset pricing model with regime-switching productivity growth, learning and ambiguity. Both mean and volatility of the growth rate of productivity are assumed to follow a Markov chain with an unobservable state. The agent's preferences are characterized by the generalized recursive smooth ambiguity utility function.

Our calibrated benchmark model with modest risk aversion can match moments of the variance risk premium in the data and reconcile empirical relations between the risk-neutral variance and macroeconomic quantities and their volatilities respectively.

We show that the interplay between productivity volatility risk and ambiguity aversion is important for pricing variance risk in returns.

刘赫宁教授主要研究资产定价、宏观金融、投资组合选择、金融计量学, 其多篇论文发表在经济学、金融学顶级期刊如Journal Monetary Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis.