uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases …-Requejo (2000) to compute lower and upper gooddeal bounds in the presence of model uncertainty. We illustrate the methodology using … some numerical examples. -- asset pricing theory ; good-deal bounds ; Knightian uncertainty ; model uncertainty …

I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and … macroeconomic uncertainty factor is the return on a long/short portfolio of equity options, built on the basis of how implied … volatilities change around scheduled macroeconomic announcements. I find that macroeconomic uncertainty is priced in the cross …