Modern investment theory takes it for granted that a Security Market Line (SML) is as certain as its "corresponding …, although it does correspond with only one market portfolio risk volatility. This implies that a security' risk premium is … evidence and graphically traces the financial market consequences of this model uncertainty for modern investment theory. First …

We propose a novel generalized recursive smooth ambiguity model which allows a three-way separation among risk aversion …

possible covariates and economic theory offers insufficient guidance on how to select the appropriate subset. Bayesian Model …