A simple robust asset pricing model under statistical ambiguity

DOI10.1080/14697688.2021.2020887zbMath1491.91151OpenAlexW4226253585MaRDI QIDQ5079377

Luis García-Feijóo, Ariel M. Viale

Publication date: 27 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2021.2020887

zbMATH Keywords

asset pricingmaximum entropyCAPMrobust Bayesian analysisstatistical ambiguity

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

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