uncertainty Archives

Which factors are relevant for asset prices?

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Professor Audrino analyses the predictive performance of different machine learning based asset pricing models

Much research effort has focused on developing estimation methodologies and models aiming to identify the relevant factors for pricing the cross-section of stock returns, meaning the change in average returns across different stocks. Traditional asset pricing models with many factors can no longer cope with the dimensionality of present-day problems. Moreover, relying on misleading results could end in disastrous financial […]

Decision making under uncertainty: Ambiguity preferences

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We all face daily decision making under uncertainty. Everyone has a different tolerance for the level of risk that they are comfortable accepting and the amount of uncertainty they are happy to make decisions within, which is also known as their ambiguity preference. Traditionally, ambiguity preferences have been measured in economic laboratory environments using complicated and time consuming tasks. As […]