In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model that allows for a … separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches … characterize risk attitude and ambiguity attitude within these two approaches. We then discuss our model’s application in asset …

We propose a novel generalized recursive smooth ambiguity model which permits a three-way separation among risk … aversion, ambiguity aversion, and intertemporal substitution. We apply this utility model to a consumption-based asset … excess returns. The key intuition is that an ambiguity-averse agent behaves pessimistically by attaching more weight to the …

ambiguity model to accommodate the investor's aversion to model uncertainty. The investor deals with specification doubts by …

We propose a novel generalized recursive smooth ambiguity model which allows a three-way separation among risk aversion …, ambiguity aversion, and intertemporal substitution. We apply this utility to a consumption-based asset pricing model in which … an ambiguity averse agent behaves pessimistically by attaching more weight to the pricing kernel in bad times when his …

ambiguity model to accommodate the investor's aversion to model uncertainty. The investor deals with specification doubts by …

capture this distinction, we adopt the multiple-priors utility model. We show that the impact of ambiguity on the option … exercise decision depends on the relative degrees of ambiguity about continuation payoffs and termination payoffs. Consequently … myopic NPV rule can be optimal for an agent having an extremely high degree of ambiguity aversion. …

there is a distinction between ambiguity and risk. The latter distinction is afforded by adoption of recursive multiple … arrives over time? (ii) What are the effects of ambiguity and incomplete information on behavior? This paper shows that it is … the resulting estimates. Finally, the paper shows that a hedging demand arises that is affected by both ambiguity and …