Ambiguity premium and transaction costs
(2021)
Journal Article
Jang, B., Kim, T., Lee, S., & Park, S. (2021). Ambiguity premium and transaction costs. Economics Letters, 207, Article 110007. https://doi.org/10.1016/j.econlet.2021.110007
We generalize the optimal investment model of an ambiguity averse investor with transaction costs. Along the lines of Maenhout (2004), we first show that ambiguity (or model uncertainty) leads to an increase in effective risk aversion by ambiguity av... Read More about Ambiguity premium and transaction costs.