increasing term structure for the risk premium. It also implies that, under the assumption that the cumulants of the distribution … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

increasing term structure for the risk premium. It also implies that, under the assumption that the cummulants of the … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

collectively with risk. Independently existing ambiguity premium helps to explain why investors appear to underinvest in risky … assets and do not exploit the asymptotic arbitrage opportunity emerged from trading inertia where return volatility (risk) is … and consumption data yields a relative risk aversion coefficient of five, and attributes 23%, 41%, and 36% of the equity …

are (1) the model can generate a high and volatile equity premium while a low and smooth risk-free rate, (2) agents … volatility clusterng and persistence; and (3) Bayesian learning itself is unable to generate a significant and positive risk …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

effect is different from existing limits of arbitrage explanations, such as idiosyncratic risk. The ambiguity premium is a … new source of the risk premium that is robust to the latest risk models …

Heterogeneous beliefs among market participants can lead to questionable speculative trading that goes beyond any risk … pricing for ambiguous contracts, without compromising legitimate risk-hedging activities. While Arrow-Debreu equilibria …