and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation … ambiguity premium and risk premium demonstrate that a decrease in ambiguity premium on volatility gives rise to an increase in … risk premium.Kelly criterion for the wealth process to reach a goal is also studied under such ambiguous market. Ambiguity …

reliable point estimates to the probabilities (or frequencies) of the states creates the ambiguity. We first describe how this … ambiguity can be modeled probabilistically. Then, we show how this added uncertainty can be dealt with in optimal asset …, ambiguity managed portfolios enhance the uniformity of returns across different states when compared to portfolios constructed …

models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … pricing models with smooth ambiguity. Statistical model comparison shows that models with ambiguity, learning and time …

This paper establishes a general analytical framework for continuous-time stochastic control problems for an ambiguity …