Ambiguity made easier

In this paper we review some well-known simple models for portfolio selection under Knightian uncertainty, also known as ambiguity, and we compute a number of explicit optimal portfolio rules using elementary mathematical tools. In the case of a single period financial market, new results arise for an agent who is risk neutral and smoothly ambiguity averse, for a loss averse and smoothly ambiguity averse agent, for a Mean-Variance and alpha-Maxmin Expected Utility agent. In a continuous time setting, we are able to recover some existing results on optimal investment strategies employing trivial stochastic analysis and avoiding the complicated BSDE machinery.