A stock's exposure to systematic risk factors is surrounded by substantial uncertainty. This beta uncertainty is both …

subhedging P&L.Asset allocation under constant absolute risk aversion (CARA) utility is investigated with ambiguous volatility … and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation … ambiguity premium and risk premium demonstrate that a decrease in ambiguity premium on volatility gives rise to an increase in …

chain and with an ambiguity averse representative agent. Our model requires a low coefficient of relative risk aversion to … produce: (i) a high equity premium and volatile equity returns, (ii) a low and smooth risk-free rate, (iii) smooth consumption … growth and volatile nvestment growth, (iv) countercyclical equity premium and market price of risk, (v) conditional …

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 …

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

Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long …