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 …

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward … from the agent's ambiguity aversion. We show how to use these general results for search problems and American Options …. -- Optimal stopping ; Ambiguity ; Uncertainty aversion ; Robustness ; Continuous time ; Optimal control …

This paper explicitly solves, in closed form, the optimal consumption and port folio choice for an ambiguity averse … martingale method to solve the dynamic optimization problem in continuous time. I find that ambiguity can decrease the optimal … of hedging demand in the optimal portfolio allocation. In addition, ambiguity also increases riskless savings …

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 …

We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward …). -- Optimal stopping ; Ambiguity ; Uncertainty aversion …

We confront the generalized recursive smooth ambiguity aversion preferences of Klibanoff, Marinacci, and Mukerji (2005 … literature. First, we use macroeconomic and financial data to estimate the size of ambiguity aversion as well as other structural … investigate asset pricing implications of ambiguity aversion. Our structural parameter estimates are comparable with those from …