Hirshleifer, David. <br/><br/>
Index Investing and Asset Pricing under Information Asymmetry and Ambiguity Aversion / 
David Hirshleifer, Chong Huang, Siew Hong Teoh. 
 - Cambridge, Mass.  National Bureau of Economic Research  2017. 
 - 1 online resource:  illustrations (black and white); 
 - NBER working paper series  no. w24143 .
 - Working Paper Series (National Bureau of Economic Research)  no. w24143. .
<br/><br/> December 2017. 
<br/><br/> 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 (<i>RAMP</i>), whose weights depend on information precisions as well as market values, all investors hold the same portfolios as in the economy without model uncertainty and thus engage in index investing. So <i>RAMP</i> improves participation and risk sharing. Asset alphas are zero with <i>RAMP</i> as pricing portfolio. <i>RAMP</i> can be implemented by a fund of funds even if no manager individually has sufficient knowledge to do so. 
<br/><br/>
<br/><br/><br/>System requirements: Adobe [Acrobat] Reader required for PDF files. <br/>Mode of access: World Wide Web.