We develop a continuous time general equilibrium yield curve model under ambiguity aversion. A moderate level of … ‘aggregate ambiguity’ affects significantly the term structure and can drive the prices of common interest rate derivatives …, with random factors unpriced under the ‘standard’ paradigm that pay a premium for ambiguity. We provide explicit …

ambiguity averse relation. First, we define two notions of more ambiguous with respect to such a class. A more ambiguous (I) act … makes an ambiguity averse decision maker (DM) worse off but does not affect the welfare of an ambiguity neutral DM. A more … ambiguous (II) act adversely affects a more ambiguity averse DM more, as measured by the compensation they require to switch …

between the set of relevant measures, shown by KMS [21] to reflect only perceived ambiguity, and the set of measures (which we … perceived ambiguity. Regarding symmetry assumptions, we show that, under relatively mild conditions, a variety of preference … stringent. Only when it is satisfied may the Bewley set be interpreted as reflecting only perceived ambiguity and not also taste …

The α-MEU model and the smooth ambiguity model are two popular models in decision making under ambiguity. However, the …

This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth … dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk … growth outcomes. Ambiguity aversion accentuates the conditional uncertainty endogenously in a dynamic way, depending on the …

This paper offers an ambiguity-based interpretation of variance premium - the difference between risk-neutral and … mean variance premium can be attributed to ambiguity aversion. Applying the model to historical consumption data, we find …