ambiguity averse relation. First, we define two notions of more ambiguous with respect to such a class. A more ambiguous (I) act … makes an ambiguity averse decision maker (DM) worse off but does not affect the welfare of an ambiguity neutral DM. A more … ambiguous (II) act adversely affects a more ambiguity averse DM more, as measured by the compensation they require to switch …

This paper explicitly solves, in closed form, the optimal consumption and port folio 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. …

ambiguity averse relation. First, we define two notions of more ambiguous with respect to such a class. A more ambiguous (I) act … makes an ambiguity averse decision maker (DM) worse off but does not affect the welfare of an ambiguity neutral DM. A more … ambiguous (II) act adversely affects a more ambiguity averse DM more, as measured by the compensation they require to switch …

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 considers learning when the distinction between risk and ambiguity matters. It first describes thought …

there is a distinction between ambiguity and risk. The latter distinction is afforded by adoption of recursive multiple … arrives over time? (ii) What are the effects of ambiguity and incomplete information on behavior? This paper shows that it is … the resulting estimates. Finally, the paper shows that a hedging demand arises that is affected by both ambiguity and …

problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion ambiguity, and jump ambiguity … conclusions in both markets: first, price diffusion and jump ambiguity mainly determine detection-error probability; second …, optimal choice is more significantly affected by price diffusion ambiguity than by jump ambiguity, and trivially affected by …

there is a distinction between ambiguity and risk. The latter distinction is afforded by adoption of recursive multiple … arrives over time? (ii) What are the effects of ambiguity and incomplete information on behavior? This paper shows that it is … the resulting estimates. Finally, the paper shows that a hedging demand arises that is affected by both ambiguity and …