robust optimal control problem under model uncertainty leads to (i) risk-neutral pricing for the traded risky assets, and (ii …) adjusting the drift of the nontraded risk drivers in a conservative direction. The direction depends on the agent's long or …

and a risk management policy. Using this framework, we demonstrate the existence of equilibrium. Moreover, we clarify the … endowments in equilibrium by indifference pricing depends on the level of risk aversion, initial capital, and agents' risk limits …

probabilistic model uncertainty. In particular, I prove the existence of a three-fold tradeoff between returns, risk, and ambiguity … supported by the incomplete diversifiability of ambiguity and the existence of a tradeoff between risk and ambiguity. The … sufficient conditions that let the approximation degenerates to the traditional Ross' arbitrage pricing theory are provided …

risk aversion is sufficient. These results highlight the importance of the specification of the utility function and its …

data with a broad class of models of choice under risk and under uncertainty. Our method allows for risk loving and elation …

utility under a nonlinear expectation, and show monotonicity and continuity of utility. Risk aversion is characterized, and …

Given adolescents' propensity to engage in risky activities, experimentally elicited risk has received much attention … adolescence and its relationship with risk and ambiguity. Secondly, we examined the influence of demographic characteristics of … the decision-maker on preferences for risk, ambiguity and prudence. Specifically, we focused on gender, age, cognitive and …

an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk …

With the rise of experimental research in the social sciences, numerous methods to elicit and classify people's risk … attitudes in the laboratory have evolved. However, evidence suggests that people's attitudes towards risk may change … considerably when measured with different methods. Based on a with-subject experimental design using four widespread risk …