Fat-tailed Distribution under the Smooth Ambiguity Model

[Prince Osei]

Dear forum,

I have derived an ambiguity-adjusted return distribution as a symmetric variance–gamma distribution induced by an investor with smooth ambiguity preferences à la Klibanoff et al. (2005), who faces uncertainty about the variance of asset returns.  

I would appreciate any comments or feedback.  

Best Regards

Prince Osei

CUDE Doctoral Researcher, Center for Mathematical Economics (IMW) 

PhD in Economics and Management (BiGSEM), Finance Profile

Universität Bielefeld

Linkedin: Prince Osei