with two regimes, and where households have generalized recursive smooth ambiguity preferences. The adopted class of … preferences permits a three-way separation of risk aversion, ambiguity aversion, and the attitude toward intertemporal … substitution. Ambiguity averse agents are ambiguous about the probability distribution of productivity growth. We show that in the …

models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … pricing models with smooth ambiguity. Statistical model comparison shows that models with ambiguity, learning and time …

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 … risk premium.Kelly criterion for the wealth process to reach a goal is also studied under such ambiguous market. Ambiguity …

with two regimes, and where households have generalized recursive smooth ambiguity preferences. The adopted class of … preferences permits a three-way separation of risk aversion, ambiguity aversion, and the attitude toward intertemporal … substitution. Ambiguity averse agents are ambiguous about the probability distribution of productivity growth. We show that in the …

ambiguity aversion in the spirit of Klibanoff et al. (2005). I calibrate the model to the post-war US data. The main findings … unconditional mean of equity premium. -- Countercylical ; Equity premium ; Markov switching ; Smooth ambiguity ; Stochastic growth …

chain and with an ambiguity averse representative agent. Our model requires a low coefficient of relative risk aversion to …