The long-run risk model is thought to rely on the agent's preference for early resolution of uncertainty (PERU) and has been criticized for assuming an excessive degree of such preference. I observe that the extreme behavior of the model in relation to the PERU depends on the extreme nature of...

This paper investigates whether and when ambiguity afflicting the long-term prospects of a market fades away in a nonexchangeable environment (time-varying short-term prospects). Two types of ambiguity are considered: static (multiple priors) and dynamic (multiple laws of motion). In the absence...

This paper considers learning about unobservable state variables when their dynamics are ambiguous. Ambiguity in dynamics, differently from that in a parameter, is never fully resolved; and, since data are to be filtered through the state equation, learning about the state becomes more difficult,...

This appendix proves the auxiliary claims in the paper (negative results concerning learning under ambiguity) and provides further details on the asset pricing example (derivation of the valuation PDEs, the numerical algorithm used to solve them, and further details on the simulations)