/she gets her/his utility from the realized gains and losses. We try to explain the effect by incorporating ambiguity attitude … which varies depending on the reference point. We extend the smooth model of ambiguity by Klibanoff et al. (2005) to depend … dependent smooth model of ambiguity if the investor gets her/his utility from the realized gains and losses although we cannot …

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 …

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 …