Journal of Financial Economics Vol. 22 No. 2 1988

Equilibrium pricing and portfolio composition in the presence of uncertain parameters

Jeffrey L. Coles^1,2; Uri Loewenstein^3,1

¹ University of Utah · ² University of Rochester · ³ Technion – Israel Institute of Technology

Abstract

We analyze the effect of parameter uncertainty on equilibrium asset prices. For the symmetric case, when the amount of estimation risk is the same for all securities, the existing literature argues that parameter uncertainty is largely irrelevant for equilibrium. Our results differ. We find that symmetric estimation risk affects equilibrium values of relative asset prices, expected returns, market weights, and betas.

DOI

10.1016/0304-405x(88)90072-4

Volume

22

Issue

2

Pages

279-303

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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