This paper offers an ambiguity-based interpretation of variance premium - the difference between risk-neutral and … mean variance premium can be attributed to ambiguity aversion. Applying the model to historical consumption data, we find …

ambiguity. In each round of a finite rep- etition of a finite stage-game, in addition to the classic pure and mixed actions … their intentions. We find that adding an infinitesimal level of ambiguity can be enough to approximate collusive payoffs via …

experimental approach, we analyze the impact of risk, imprecision in probabilities (ambiguity), imprecision in outcomes, and a …

This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth … dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk … growth outcomes. Ambiguity aversion accentuates the conditional uncertainty endogenously in a dynamic way, depending on the …

in characterizing ambiguity attitudes. In addition to providing new insights into the underlying processes behind … ambiguity aversion -failure to reduce compound probabilities or distinct attitudes towards unknown probabilities- our study …

from the perspective of an ambiguity averse buyer in a discrete time model of Cox-Ross-Rubinstein style. The multiple prior … maker needs to solve a stopping problem. Unlike the classical approach ambiguity averse decision maker uses a class of …