Choquet Bayesian estimator results in a long-run bias that reflects the agent’s ambiguity attitudes. By calibrating the …

Choquet Bayesian estimator results in a long-run bias that reflects the agent's ambiguity attitudes. By calibrating the …

asks whether Bayesian learners with ambiguity attitudes will reduce their ambiguity when sample information becomes large … pessimistic, and the full Bayesian update rule, a Bayesian learnerÂ’s ambiguity will increase rather than decrease to the effect … that these agents will express ambiguity attitudes regardless of whether they have access to large sample information or …

to rational Bayesian learning in the absence of ambiguity. …

-additive survival beliefs expressing ambiguity attitudes. We embed these neo-additive survival beliefs as decision weights in a Choquet …

-additive survival beliefs expressing ambiguity attitudes. We embed these neo-additive survival beliefs as decision weights in a Choquet …

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 …

I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity … aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the … generalized LRR model is as tractable but more flexible due to its separation of ambiguity aversion from both risk aversion and …