In this paper, we show how an investor can incorporate uncertainty about expected returns when choosing a mean … investor is neutral to uncertainty, we consider the case where the investor has multiple priors and is averse to uncertainty … model aversion to uncertainty via a minimization over the set of priors. The multi-prior model has several attractive …

asset returns. Our contribution is to develop a framework that allows for ambiguity about the joint distribution of returns … for all stocks being considered for the portfolio, and also for different levels of ambiguity for the marginal … international equity returns. The calibration shows that when the overall ambiguity about the joint distribution of returns is high …

In this paper, we show how an investor can incorporate uncertainty about expected returns when choosing a mean … investor is neutral to uncertainty, we consider the case where the investor has multiple priors and is averse to uncertainty … model aversion to uncertainty via a minimization over the set of priors. The multi-prior model has several attractive …

between risk and uncertainty is implemented by applying the Gilboa-Schmeidler maxmin with multiple priors framework to lenders …, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood … include: (i) An unanticipated increase in bailout uncertainty raises interest rates, the volume of defaults in both the real …

Firms in many developing countries cite macroeconomic instability and political uncertainty as major constraints to … their growth. Economic theory suggests uncertainty can cause firms to delay investments until uncertainty is resolved. We … macroeconomic and political uncertainty. Demand for macroeconomic shock insurance was high; 36.7 percent of microentrepreneurs in …

assets - and Markowitz - who advocates diversification across assets. We rely on the concepts of ambiguity and ambiguity … degree of ambiguity across assets, and (ii) the standard deviation of the estimate of expected return on each asset. If the … standard deviation of the expected return estimate and the difference between the ambiguity about familiar and unfamiliar …

full information and there is also a role for ambiguity in the setting of monetary policy. Both these effects of asymmetric …

informed about the environment, but also impose more risk on the agent. If tasks are sufficiently complementary for the …

transparency and constructive ambiguity. The first two show that transparency reduces the variability of inflation and the output … preferences for all circumstances, in line with the hypothesis of constructive ambiguity, we find that both the levels and the … may have been exploiting constructive ambiguity more than a lack of transparency. …

discounting. Simple, short cycles repeat until the last two periods. For discount factors above 0.75488, there are three …