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 …

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 …

implies that changes in Y2 should be hedged and its uncertainty priced, with this price containing risk and ambiguity … components. Ambiguity impacts asset pricing through two channels: the price of uncertainty associated with the ambiguous state … variable, Y2, and the interest rate. With ambiguity, the equilibrium price of uncertainty associated with Y2 and the …

We derive a closed-form solution for the price of a European call option in the presence of ambiguity about the … a particular case of ours, corresponding to the case in which there is no ambiguity (uncertainty is exclusively risk …). In the presence of ambiguity, the variance uncertainty price becomes either a convex or a concave function of the …

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 …

to assess if this continues to be true in the presence of ambiguity. Adopting robust control and perturbation theory … techniques, we study the problem of a long-horizon investor with recursive preferences that faces ambiguity about the stochastic … processes that generate the investment opportunity set. We find that ambiguity impacts portfolio choice, with the relevant …

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 …

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 …