account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross …

decision theory to characterize when learning or discriminating among competing probability models is challenging. I also use … choice theory under uncertainty to explore the ramifications of model uncertainty and learning in environments in which … underpinnings of asset pricing models. I illustrate how statistical ambiguity can alter the risk-return tradeoff familiar from asset …

We present a theory of choice among lotteries in which the decision maker's attention is drawn to (precisely defined … payoffs, our model provides a novel and unified account of many empirical phenomena, including frequent risk-seeking behavior … distinguish it from Prospect Theory, which we test. We also use the model to modify the standard asset pricing framework, and use …

exchange rate model, our analysis is based on either the risk-neutral PDF or arbitrage-based tests of target zones. The paper …

We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from … between bond and currency risk premiums. This link is strengthened by explicitly accounting for stochastic discount factors …. Information about currency risk premiums at different horizons presents a wealth of new evidence and challenges for existing …

distributions of risks give rise to components of equilibrium prices that differ from the risk prices widely used in asset pricing … theory. A quantitative example highlights a representative investor's uncertainties about the size and persistence of …

MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate … security risk loadings using real data on prepayment forecasts vs. realizations. Estimated loadings are monotonic in securities … investors. In particular, we find convincing evidence that prepayment risk prices change sign over time with the sign of a …