-Debreu equilibria only if the values of net trades are ambiguity-free in the mean. Without aggregate uncertainty, inefficiencies arise …

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 …

only possible if all discounted net trades of the equilibrium allocation are mean ambiguity-free. …

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward … from the agent's ambiguity aversion. We show how to use these general results for search problems and American Options. …

We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward …

This paper explicitly solves, in closed form, the optimal consumption and portfolio choice for an ambiguity averse … martingale method to solve the dynamic optimization problem in continuous time. I find that ambiguity can decrease the optimal … of hedging demand in the optimal portfolio allocation. In addition, ambiguity also increases riskless savings. …

to assess if this continues to be true in the presence of ambiguity. Adopting robust control and perturbation theory … techniques, we study the problem of a long-horizon investor with recursive preferences that faces ambiguity about the stochastic … processes that generate the investment opportunity set. We find that ambiguity impacts portfolio choice, with the relevant …

We introduce ambiguity about the variance of the risky asset's return in the model of Chacko and Viceira (2005) for … portfolio continuously (as a function of the instantaneous variance), ambiguity has no impact. To shed some light on the case in … which continuous portfolio updating is not possible, we also evaluate the effect of ambiguity when investors must use their …