Index Investing and Asset Pricing under Information Asymmetry and Ambiguity Aversion
收藏NBER2017-12-01 更新2025-01-04 收录
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https://www.nber.org/papers/w24143
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资源简介：
In a setting with information asymmetry and a tradable value-weighted market index, ambiguity averse investors hold undiversified portfolios, and assets have nonzero alphas. But when a passive fund offers the risk-adjusted market portfolio (RAMP), whose weights depend on information precisions as
提供机构：
美国国家经济研究局
创建时间：
2017-12-01
