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 …

We extend the analysis of risk aversion with state-dependent preferences to the Rank-dependent Expected Utility theory …. We find that in this extended theory, for two preference relations to be comparable in risk aversion, not only do their …), but they must also rank the prospective state-dependent outcomes in the same manner. We formalize this additional …

implausible risk characteristics. The authors characterize a new class of utility function whose risk parameters depend upon … can have decreasing risk aversion, and risky assets in a quadratic utility multi-asset environment do not have to be …

static hedging strategy is sufficient. -- risk management ; hedging ; forwards ; uncertainty of time …This paper studies the hedging of price risk when payment dates are uncertain, a problem that frequently occurs in …

We address the problem of choosing a portfolio of policies under "deep uncertainty." We introduce the idea of belief …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …