The Knightian Factor Based on the BSV Model

摘要：

Under the Knightian uncertainty environment,this paper explores the asset pricing issues from two aspects of behavioral finance which are the investors representative behavioral deviation and conservative behavioral deviation.On the basis of the BSV model,this paper educes the asset pricing formula containing the Knightian factor.In this paper,we present the probability of the investor committed the conservative behavioral deviations at the current time period as the Knightian factor,with emphasis on Knightian factor analysis.

关键词： Representative behavioral deviation Conservative behavioral deviation BSV model Knightian factor

作者: Jingchao Zhang Liyan Han

作者单位: School of Economics and Management,Beihang University,P.R.China,100191

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 694-699

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）