decision theory to characterize when learning or discriminating among competing probability models is challenging. I also use … choice theory under uncertainty to explore the ramifications of model uncertainty and learning in environments in which … underpinnings of asset pricing models. I illustrate how statistical ambiguity can alter the risk-return tradeoff familiar from asset …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

distributions of risks give rise to components of equilibrium prices that differ from the risk prices widely used in asset pricing … theory. A quantitative example highlights a representative investor's uncertainties about the size and persistence of …

between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk …