This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an ambiguity-averse investor with multiple priors when the expected return of a risky asset is unobservable and follows a hidden Markov chain. The investor's beliefs over investment opportunities are...

This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an investor with Du e and Epstein (1992a)'s recursive preferences who worries about model misspecification (model uncertainty) and wants to seek robust decision rules. The expected excess return of a...

This paper explicitly solves, in closed form, the optimal consumption and port folio choice for an ambiguity averse investor in a Merton-type two assets economy where a risk premium follows a mean-reverting process. The investor's preferences are represented by the recursive multiple priors...

I develop a stochastic growth model with production where there is a hidden state governing productivity growth regimes, and the hidden state evolves according to a Markov chain. Economic agents learn about the hidden state and display ambiguity aversion in the spirit of Klibanoff et al. (2005)....

We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...

We propose a novel one-sector stochastic growth model, where producitivity growth follows a Markov-switching process 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,...

This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an ambiguity-averse investor with multiple priors when the expected return of a risky asset is unobservable and follows a hidden Markov chain. The investor's beliefs over investment opportunities are...

This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an investor with Du e and Epstein (1992a)'s recursive preferences who worries about model misspecification (model uncertainty) and wants to seek robust decision rules. The expected excess return of a...