distinguishes the curvature and elevation of probability weighting. With this function, we prove the CAPM and Security Market Line … Theorem (SMLT) under probability weighting by assuming risk aversion and loss aversion, respectively. Moreover, we find the …

The concept of model uncertainty is one of increasing importance in the field of Mathematical Finance. The main goal of … this work is to explore model uncertainty in the specific area of algorithmic and high frequency trading. From a … behavioural perspective, model uncertainty naturally leads to the notion of ambiguity aversion - a person's tendency to avoid …

The effects of sentiment should be strongest during times of heightened valuation uncertainty. As such, we document a … significant amplifying role for market uncertainty in the relation between sentiment and aggregate investment. A one …-standard-deviation increase in uncertainty more than doubles the effect of sentiment on investment. Moreover, allowing uncertainty …

This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market …’s expected excess return is positively related to the market’s conditional variances and implied variance during low uncertainty … periods but unrelated or negatively related to conditional variances and implied variance during high uncertainty periods. Our …

This study investigates the short- and long-term effects of various sources of uncertainty on the share prices of key … other relevant approaches to time series. Economic policy, climate policy, pandemics, and Twitter-based uncertainty may … China, geopolitical, climatic, and pandemic uncertainty are short-term sources of uncertainty, and in India, economic policy …