This paper assesses the quantitative impact of ambiguity on the historically observed equity premium. We consider a …'s beliefs about the dividend/consumption process is ambiguous. Second, the agent's preferences are sensitive to this ambiguity … calibrate the level of ambiguity aversion to match only the first moment of the risk-free rate in data, and ambiguity to match …

ambiguity averse relation. First, we define two notions of more ambiguous with respect to such a class. A more ambiguous (I) act … makes an ambiguity averse decision maker (DM) worse off but does not affect the welfare of an ambiguity neutral DM. A more … ambiguous (II) act adversely affects a more ambiguity averse DM more, as measured by the compensation they require to switch …

This paper assesses the quantitative impact of ambiguity on the historically observed financial asset returns and … distribution on consumption and dividends in the next period as ambiguous, an ambiguity that is endogenously dynamic, e ….g., increasing during recessions. We calibrate ambiguity aversion to match only the first moment of the risk-free rate in data and …

We examine a variety of preference-based definitions of ambiguous events in the context of the smooth ambiguity model … ambiguity model, we show that Ghirardato and Marinacci (2002) would identify the same set of ambiguous and unambiguous events as … more interesting source is that these two definitions can confound non-constant ambiguity attitude and the ambiguity of an …

a single concept of relevance delivers this for a wide range of models, including models that allow for ambiguity … attitude.  We also use symmetry and relevance to provide insight into the foundations of the α-MEU and smooth ambiguity models …

This paper assesses the quantitative impact of ambiguity on the historically observed financial asset returns and … distribution on consumption and dividends in the next period as ambiguous, an ambiguity that is endogenously dynamic, e ….g., increasing during recessions. We calibrate ambiguity aversion to match only the first moment of the risk-free rate in data and …

relevant measures as reflecting part of perceived ambiguity, meaning subjective uncertainty about probabilities over states …. Under mild conditions, we show that increases or decreases in ambiguity aversion cannot affect the relevant measures. This … property, necessary for the conclusion that these measures reflect only perceived ambiguity, distinguishes the set of relevant …

The α-MEU model and the smooth ambiguity model are two popular models in decision making under ambiguity. However, the …

Are foundations of models of ambiguity-sensitive preferences too flawed to be usefully applied to economic models?  Al …-Najjar and Weinstein do not apply to quite a few of the ambiguity preference models of more recent vintage, and therefore to that … extent do not undermine the foundational aspects or applicability of ambiguity models in general.  Second, we argue the focus …