Keyword: Utility : Search

System Upgrade on Tue, May 28th, 2024 at 2am (EDT)

Existing users will be able to log into the site and access content. However, E-commerce and registration of new users may not be available for up to 12 hours.
For online purchase, please visit us again. Contact us at customercare@wspc.com for any enquiries.

Advanced Search

SEARCH GUIDE

Results: 1 - 1of1

Follow results:

per page:

Sort: Relevance

Context for search term 1Search term 1*

All Dates

LastSelect static range

Custom Range

Select starting monthSelect starting year

Select ending monthSelect ending year

articleFree Access
The Uncertainty Premium in an Ambiguous Economy
- Yehuda Izhakian and
- Simon Benninga
The Quarterly Journal of Finance01 Jun 2011
Preview Abstract
The uncertainty premium is the premium that is derived from not knowing the sure outcome (risk premium) and from not knowing the precise odds of outcomes (ambiguity premium). We generalize Pratt's risk premium to uncertainty premium based on Klibanoff et al.'s (2005) smooth model of ambiguity. We show that the uncertainty premium can decrease with an increase in decision maker's risk aversion. This happens because increasing risk aversion always results in a lower ambiguity premium. The positive ambiguity premium may provide an additional explanation to the equity premium puzzle.

1