ambiguous urn. Holding other information identical and controlling for the level of ambiguity, we find that labeling assets as … ambiguity robust mean-variance model accurately predicts benchmark portfolio weights of the experimental control group, where … assets are not labeled: subjects allocate more wealth to assets with low ambiguity. For treatment group portfolios, which …

experimental approach, we analyze the impact of risk, imprecision in probabilities (ambiguity), imprecision in outcomes, and a …

populated by bothstandard expected utility maximizers and by ambiguity-averse investors that trade in the market fora risky … asset. We show that, provided there is a sufficient amount of ambiguity, market breakdownswhere large portions of traders …

This paper examines a continuous-time intertemporal consumption and portfolio choice problem foran ambiguity …

We consider individual's portfolio selection problems. Introducing the concept of ambiguity, we show the existence of … are represented by the Choquet integral with respect to the inner measure. Under the concept of ambiguity, it is … probabilities. Furthermore, we study the difference between ambiguity and uncertainty by considering investors' behavior. …

We relate time-varying aggregate ambiguity (V-VSTOXX) to individual investor trading. We use the trading records of … an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk …-taking which does not reverse over the following days. When ambiguity is high, the effect of sentiment looms larger. Survey …

This paper sets up an experimental asset market in the laboratory to investigate the effects of ambiguity on price … formation and trading behavior in financial markets. The obtained trading data is used to analyze the effect of ambiguity on … trading) and to test the quality of popular empirical market-based measures for the degree of ambiguity. We find that …

problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion ambiguity, and jump ambiguity … conclusions in both markets: first, price diffusion and jump ambiguity mainly determine detection-error probability; second …, optimal choice is more significantly affected by price diffusion ambiguity than by jump ambiguity, and trivially affected by …