some numerical examples. -- asset pricing theory ; good-deal bounds ; Knightian uncertainty ; model uncertainty … uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases … investors' effective risk aversion. Using this utility function, we extend the "no good deals" methodology of Cochrane and Saá …

their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …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 …

insurance company whose reserves are modeled as a classical Cramér risk process, with exponentially distributed claims, when the …