some numerical examples. -- asset pricing theory ; good-deal bounds ; Knightian uncertainty ; model uncertainty … uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases … investors' effective risk aversion. Using this utility function, we extend the "no good deals" methodology of Cochrane and Saá …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital …Utility and risk are two often competing measurements on the investment success. We show that efficient trade … market pricing model Sharpe (1964), are special cases of our general framework when the risk measure is taken to be the …

Markowitz (1952) produces optimal portfolios. If, however, both and are estimated with uncertainty, mean-variance optimization …. It allows the specification of views and an uncertainty about these views, which are combined with equilibrium returns … process. In the Black-Litterman model, however, uncertainty about the equilibrium returns is specified with an overall scalar …