Bossaerts, Peter; Ghirardato, Paolo; Guarnaschelli, Serena - In: Review of Financial Studies 23 (2010) 4, pp. 1325-1359
This paper studies the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in competitive financial markets. It argues that attitudes toward ambiguity are heterogeneous across the population, just as attitudes toward risk are heterogeneous across the...