. Especially the condition of arbitrage for sub-hedging strategy fills the gap of the theory of arbitrage under model uncertainty …

rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and …-free rate in data and measure the uncertainty each period conditional on the actual, observed histroy of (U.S.) macroeconomic … growth outcomes. Ambiguity aversion accentuates the conditional uncertainty endogenously in a dynamic way, depending on the …

rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and …‐free rate in data and measure the uncertainty each period conditional on the actual, observed history of (U.S.) macroeconomic … growth outcomes. Ambiguity aversion accentuates the effect of conditional uncertainty endogenously in a dynamic way …

This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market …’s expected excess return is positively related to the market’s conditional variances and implied variance during low uncertainty … periods but unrelated or negatively related to conditional variances and implied variance during high uncertainty periods. Our …

numerous anomalies observed in the markets. Also, it has been argued that information uncertainty tends to exacerbate these …

numerous anomalies observed in the markets. Also, it has been argued that information uncertainty tends to exacerbate these …