's composite preferences for risk tolerance, ambiguity aversion and optimism. Investors rationalize (IR)rational expected utilities …

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty …

investors, ambiguity aversion generates strong home bias in equity holdings, regardless of beliefs in the CAPM or risk aversion …

-)variance of power plant profits. If investors are risk-averse, these differ- ences lead to divergent investment portfolios …, breaking the equivalence of price- and quantity-based policy instruments under risk-neutrality. Using the European power sector … with increasing risk aversion. …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

which, compared with the risk-adjusted cost of capital, correctly signals wealth creation. For choosing between two mutually … exclusive projects, we derive an incremental AROI and an incremental risk-adjusted cost of capital, by means of which two … unequal-risk projects can be correctly compared. Iterating the incremental procedure, we show that the AROI approach correctly …

risk, is a rational strategy for ambiguity-averse individuals, who have an incentive to hedge the ambiguity in the base …

This paper addresses the question of optimal currency exposure for a risk-and-ambiguity-avers international investor. A …