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 …-Requejo (2000) to compute lower and upper gooddeal bounds in the presence of model uncertainty. We illustrate the methodology using …

The present paper considers a class of general equilibrium economics when the primitive uncertainty model features … uncertainty about continuous-time volatility. This requires a set of mutually singular priors, which do not share the same null … agents in the economy are heterogeneous in their preference for uncertainty. Each utility functional is a variational type …