Boyarchenko, Nina; Cerrato, Mario; Crosby, John; … - Department of Economics, Adam Smith Business School - 2013
uncertainty. We construct a notion of a model- uncertainty-induced utility function and show that model uncertainty increases the … investor's effective risk aversion. Using the model-uncertainty-induced utility function, we extend the "No Good Deals …" methodology of Cochrane and Saa-Requejo [2000] to compute lower and upper good deal bounds in the presence of model uncertainty …