Boyarchenko, Nina; Cerrato, Mario; Crosby, John; … - 2012
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 … some numerical examples. -- asset pricing theory ; good-deal bounds ; Knightian uncertainty ; model uncertainty …