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'Asset Pricing Under Ambiguous Information' in journal

Trainee Achievements

'Asset Pricing Under Ambiguous Information' in journal

IGERT fellow, Ben Cassell, is the lead author in a refereed journal in Computer Science:

Cassell, B.A., and Wellman, M.P. (2012, December). Asset Pricing Under Ambiguous Information: An Empirical Game-theoretic Analysis. Computational and Mathematical Organization Theory, Volume 18, (Issue 4), pp. 445-462.

We present a case study investigating a recent model from the finance literature proposed by Epstein and Schneider (ES), and its ability to explain the classic equity premium puzzle in risky asset pricing. For all market configurations that we examined, ambiguity-averse pricing was played with little or no probability in equilibrium. Moreover, none of the market configurations exhibited significant equity premia. Both our use of strategic equilibrium as a market composition concept, and the actions of our simulated market microstructure contribute to removing any equity premium. These findings underscore the value of checking the robustness of results in classical models.