These supplemental materials contain additional plots of empirical and model-implied CEs as well as posterior mean and probability weighting functions. They present statistical analysis of detected regime changes. They include additional bibliographical and technical details on the themes...

Economic agents live in a perpetually changing environment. The ensuing scarcity of information is tackled with invariant ignorance priors, forcing them to overweight the chances of less probable events. Beliefs are updated from directly sampled, described, or ambiguous sources, which may...

Full paper available at: 'https://ssrn.com/abstract=3118395' https://ssrn.com/abstract=3118395These supplemental materials include additional bibliographical and technical details on the themes brought up in the main text: the consumption-based asset pricing models, as well as the concept of...

Supplement is available at: 'https://ssrn.com/abstract=3118417' https://ssrn.com/abstract=3118417Economic agents face an evolving, non-ergodic environment. The corresponding permanently undersampled “population” distribution naturally permits unseen, rare events. The principle of...

Economic agents face an evolving, non-ergodic environment. The corresponding permanently undersampled “population” distribution naturally permits unseen, rare events. The principle of indifference, implemented through the methods of parameterization invariance and maximum entropy, provides a...

These supplemental materials include additional bibliographical and technical details on the themes brought up in the main text: the consumption-based asset pricing models, as well as the concept of shrinkage. A description of data sources is also given here

Economic agents face an evolving, non-ergodic environment. The corresponding permanently undersampled “population” distribution naturally permits unseen, rare events. The principle of indifference, implemented via the methods of parameterization invariance and/or maximum entropy, provides a...

These supplemental materials contain additional plots of empirical and model-implied CEs as well as posterior mean and probability weighting functions. They present statistical analysis of detected regime changes. They also include additional bibliographical and technical details on the themes...

Economic agents live in a perpetually changing environment. The ensuing scarcity of information is tackled with invariant ignorance priors, forcing them to overweight the chances of less probable events. Beliefs are updated from directly sampled, described, or ambiguous sources, which warrant...

These supplemental materials include additional bibliographical and technical details on the themes brought up in the main text: (https://ssrn.com/abstract=3744410) the consumption-based asset pricing models, as well as the concept of shrinkage. A description of data sources is also given here