Heterogeneous beliefs among market participants can lead to questionable speculative trading that goes beyond any risk … pricing for ambiguous contracts, without compromising legitimate risk-hedging activities. While Arrow-Debreu equilibria …

This paper introduces a (coherent) risk measure that describes the uncertainty of the model (represented by a … representation is obtained that gives a connection to both the expected loss of the financial position and its average value-at-risk … problems reveals examples of extreme sensitivity of optimal portfolios to model parameters and the choice of risk measure. …

popular Epstein-Zin-Weil recursive preferences as special cases. Besides providing a model uncertainty rationale to these risk …-Zin-Weil preferences yield comparable market prices of risk for given detection error probabilities. …

This paper addresses the question of optimal currency exposure for a risk-and-ambiguity-avers international investor. A …