Model Uncertainty Effect on Asset Prices*. (1st March 2017)
- Record Type:
- Journal Article
- Title:
- Model Uncertainty Effect on Asset Prices*. (1st March 2017)
- Main Title:
- Model Uncertainty Effect on Asset Prices*
- Authors:
- Jiang, Junya
Tian, Weidong - Other Names:
- Tian Weidong guestEditor.
- Abstract:
- Abstract: We develop a weighted‐average approach of pricing under model uncertainty, where several plausible models are considered instead of a perfect one. The model uncertainty effect from this weighted‐average approach is significantly different from the conventional wisdom, in which the true price must be bounded by prices in all plausible models. We identify under what circumstances the model uncertainty effect is significant and reveal serious risk management challenges for researchers, regulators, and market participants.
- Is Part Of:
- International review of finance. Volume 17:Number 2(2017:Jun.)
- Journal:
- International review of finance
- Issue:
- Volume 17:Number 2(2017:Jun.)
- Issue Display:
- Volume 17, Issue 2 (2017)
- Year:
- 2017
- Volume:
- 17
- Issue:
- 2
- Issue Sort Value:
- 2017-0017-0002-0000
- Page Start:
- 205
- Page End:
- 233
- Publication Date:
- 2017-03-01
- Subjects:
- Finance -- Periodicals
Financial institutions -- Periodicals
332.673 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1468-2443 ↗
http://onlinelibrary.wiley.com/ ↗
http://www.blackwell-synergy.com/servlet/useragent?func=showIssues&code=irfi ↗ - DOI:
- 10.1111/irfi.12118 ↗
- Languages:
- English
- ISSNs:
- 1369-412X
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 4547.155000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 469.xml