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| Author: | Coles, J. Loewenstein, U. Suay, J. |
| Title: | On equilibrium pricing under parameter uncertainty |
| Journal: | Journal of Financial and Quantitative Analysis
1995 : SEP, VOL. 30:3, p. 347-364 |
| Index terms: | FINANCIAL ANALYSIS QUANTITATIVE TECHNIQUES UNCERTAINTY |
| Language: | eng |
| Abstract: | Prior theoretical work on estimation risk generally has been restricted to single-period, returns-based models in which the investor must estimate the vector of expected returns but the covariance matrix is known. This paper extends the literature on parameter uncertainty in several ways. First, the authors analyze asymmetric parameter uncertainty in a model based on payoffs. Second, they explore the effects of both symmetric and asymmetric estimation risk on equilibrium asset prices when the covariance matrix for payoffs must also be estimated. |
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