We propose a new measure of deviations from expected utility, given data on economic choices under risk and uncertainty … deviation (in beliefs, utility, or perceived prices) is within e of expected utility theory. The number e can then be used as a … are consistent with utility maximization, but not expected utility maximization. The correlation of our measure with …

We propose a new measure of deviations from expected utility, given data on economic choices under risk and uncertainty … deviation (in beliefs, utility, or perceived prices) is within e of expected utility theory. The number e can then be used as a … are consistent with utility maximization, but not expected utility maximization. The correlation of our measure with …

We consider a linear factor APT model and assume that agents are ambiguity averse with respect to payoffs of arbitrage … factor portfolios. Moreover, when there is ambiguity about factor sensitivities, strict arbitrage is impossible and pricing … errors need not be bounded at all. Replacing a strict no-arbitrage requirement with one which imposes bounds on mean …