utility functions, where concavity is an expression of ambiguity aversion and/or risk aversion. This paper extends the … analysis to α-maxmin expected utility, Choquet expected utility, and cumulative prospect theory, which accommodate ambiguity …

We analyze a market populated by expected utility maximizers and smooth ambiguity-averse consumers. We study conditions … under which ambiguity-averse consumers survive and affect prices in the limit. If ambiguity vanishes with time or if the … economy exhibits no aggregate risk, ambiguity-averse consumers survive, but have no long-run impact on prices. In both …