Article ID Journal Published Year Pages File Type
5062504 Economics Letters 2007 8 Pages PDF
Abstract

This paper proposes a new measure for Knightian uncertainty under Markovian economy and solves the risk premium and the risk free rate puzzle under Knightian uncertainty in Japan and the U.S. with plausible values for time preference and risk aversion parameters.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
The Knightian uncertainty and the risk premium and the risk free rate puzzles in Japan and the U.S.
Authors
,