uncertainty. We construct a notion of a model-uncertainty-induced utility function and show that model uncertainty increases … investors’ effective risk aversion. Using this utility function, we extend the “no good deals” methodology of Cochrane and Saá …-Requejo (2000) to compute lower and upper good-deal bounds in the presence of model uncertainty. We illustrate the methodology using …

consumption. We investigate the robustness of these results to model uncertainty using Bayesian model averaging. We find that … there is model uncertainty with regard to the number of cointegrating vectors, the form of deterministic components, lag … length, and whether the cointegrating residuals affect consumption and income directly. Whether this uncertainty has …

uncertainty, and they illustrate the contract design in an application with Bayesian learning. The disagreement creates gains from … intertemporal source of “disagreement risk” that alters optimal risk sharing. An endogenous regime shift between economies with … variable pay even after beliefs have converged. Under risk-neutrality, “selling the firm” to the agent does not implement the …

settings where prices of risk vary with observed state variables. We identify conditions under which four-stage regression … time-varying prices of risk are pervasive, thus favoring dynamic cross-sectional asset pricing models over standard …

that idiosyncratic risk can help to enter the bounds when idiosyncratic uncertainty depends on the aggregate state of the … risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and …

Beginning in 1998, U.S. commercial banks may determine their regulatory capital requirements for financial market risk … exposure using value-at-risk (VaR) models i.e., models of the time-varying distributions of portfolio returns. Currently …

Beginning in 1998, commercial banks may determine their regulatory capital requirements for market risk exposure using … value-at-risk (VaR) models; i.e., time-series models of the distributions of portfolio returns. Currently, regulators have …

dividend process of a risky asset. Under perfect information, the presence of risk-neutral arbitrageurs unambiguously reduces …