This paper investigates the comparative statics of "more ambiguity aversion" as defined by <xref ref-type="bibr" rid="bib26">Klibanoff, Marinacci and Mukerji (2005</xref>, "A Smooth Model of Decision Making under Ambiguity", Econometrica, 73 (6), 1849--1892). The analysis uses the static two-asset portfolio problem with one safe asset...

In an Arrow-Debreu exchange economy with identical agents except for their initial endowment, we examine how wealth inequality affects the equilibrium level of the equity premium and the risk-free rate. We first show that wealth inequality raises the equity premium if and only if the inverse of...

This paper investigates the comparative statics of "more ambiguity aversion" as defined by <xref ref-type="bibr" rid="bib26">Klibanoff, Marinacci and Mukerji (2005</xref>, "A Smooth Model of Decision Making under Ambiguity", Econometrica, 73 (6), 1849--1892). The analysis uses the static two-asset portfolio problem with one safe asset...

In the standard portfolio problem, a shift in the distribution of the risky asset is 'portfolio-dominated' if it reduces the demand for the risky asset by all risk-averse agents, irrespective of the risk-free rate. The author shows that the condition obtained by M. Landsberger and I. Meilijson...