No good deals - no bad models

Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases investors' effective risk aversion. Using this utility function, we extend the "no good deals" methodology of Cochrane and Saá-Requejo (2000) to compute lower and upper gooddeal bounds in the presence of model uncertainty. We illustrate the methodology using some numerical examples. -- asset pricing theory ; good-deal bounds ; Knightian uncertainty ; model uncertainty ; contingent claim pricing ; model-uncertainty-induced utility function