under ambiguity, called Shadow probability theory, a generalization of the Choquet expected utility. In this model … space. Risk and risk attitude, on the other hand, apply to the subordinated space, as in classical expected utility theory … the classical asset pricing theory by incorporating ambiguous probabilities. It proposes a well defined ambiguity premium …

applications of both discrete time theory and continuous time mathematics, and is extensive in scope. Distribution theory … be found in this book, as well as the theory of Markov Chains and appropriate applications in credit modeling. Measure …-theoretic probability, moments, characteristic functions, inequalities, and central limit theorems are examined. The theory of risk aversion …

Asset Pricing Model (CAPM), are employed as deterministic with assumptions of normally, independently, and continuously … model based in utility theory to determine the likelihood that an asset will generate a return in excess of the risk …

, specifically the overweighting of rare, high-impact events. Our model—the Π-CAPM—allows for disentangling volatility and skewness … by the Π-CAPM. …

underweighting reduces it. We support our theory through an extensive empirical study …