and that the model is consistent with a rich set of possibilities for dynamic behavior under ambiguity. …

illustrated by the Ellsberg Paradox, this feature rules out a priori any concern with ambiguity. This paper formulates a … continuous-time intertemporal version of multiple-priors utility, where aversion to ambiguity is admissible. When applied to a … premium for risk and a seperate premium for ambiguity. …

When ambiguity averse investors process news of uncertain quality, they act as if they take a worst-case assessment of … returns, increase price volatility and induce ambiguity premia that depend on idiosyncratic risk in fundamentals. Moreover …

This paper considers learning when the distinction between risk and ambiguity (Knightian uncertainty) matters. Working … that cannot be captured by noisy signals. They induce nonmonotonic changes in agent confidence and prevent ambiguity from … participation costs that depend on past market performance. Hedging of ambiguity provides a new reason why the investment horizon …

When ambiguity averse investors process news of uncertain quality, they act as if they take a worst-case assessment of … induce ambiguity premia that depend on idiosyncratic risk in fundamentals. Moreover, shocks to information quality can have …

This paper considers learning when the distinction between risk and ambiguity matters. It first describes thought …