Uncertainty and Valuations: A Comment
Critical Finance Review, Forthcoming
4 Pages Posted: 18 Jan 2014
Date Written: January 14, 2014
This is a solicited comment on the paper "Uncertainty and Valuations" by Cremers and Yan, August 2013, which is forthcoming in the Critical Finance Review. Cremers and Yan aim to provide "an additional litmus test for the uncertainty-convexity argument in Pastor and Veronesi (2003)." We challenge this view, as well as the authors' related thoughts on the technology "bubble" of the late 1990s. Nonetheless, we agree with Cremers and Yan that our profession needs to think harder about the measurement of parameter uncertainty.
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