Using expected utility under uncertain probability theory (EUUP, Izhakian, 2017, 2020), we study whether the ambiguity … related to individual stocks is priced in the Chinese A-share market and the mechanism behind the ambiguity premium phenomenon …. Theoretically, when the asset price is within a specific range, ambiguity-averse investors refrain from participating in trading. As …

pure exchange economy with a representative agent exhibiting smooth ambiguity preferences, the pricing kernel is derived … monotonically or exhibit a U-shape, depending on the level of ambiguity aversion. Additionally, we provide economic insights into …