(KMM) interpret ambiguity aversion as aversion against second-order risks associated with ambiguous acts. We design an … experiments. It appears that the ambiguity premium is partially paid to avoid the ambiguity issue per se, which is distinct from … notions of second- order risk. This finding is robust even when there is only partial ambiguity, and is applicable to all …

ambiguity and ambiguity attitude. These preferences are dynamically inconsistent for nontrivial versions of α. In this paper, we …

We propose and axiomatically characterize a representation of ambiguity sensitive preferences. The distinguishing … maker exhibits a consistent tradeoff between risk and ambiguity concerns. Under our representation of her preferences, any … ambiguity. …

We introduce a model of random ambiguity aversion. Choice is stochastic due to unobserved shocks to both information … and ambiguity aversion. This is modeled as a random set of beliefs in the maxmin expected utility model of Gilboa and … Schmeidler (1989). We characterize the model and show that the distribution of ambiguity aversion can be uniquely identified …

Decisions under ambiguity depend on the beliefs regarding possible scenarios and the attitude towards ambiguity. This …

We relate time-varying aggregate ambiguity (V-VSTOXX) to individual investor trading. We use the trading records of … an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk …-taking which does not reverse over the following days. When ambiguity is high, the effect of sentiment looms larger. Survey …

regarding the realization likelihood of cash flows, the subjective attitude towards risk, and the attitude towards ambiguity …. While previous literature looks at the total price discount under ambiguity, this paper investigates with laboratory … belief effects, the risk premiums, and the ambiguity premiums from each other. Both methods lead to similar results: Overall …

This paper analyzes dynamic choice for ambiguity-sensitive decision makers. It demonstrates that unambiguous behavioral … sophisticated MEU preferences are then used to analyze the value of information under ambiguity; a basic trade-off between …