A representative investor confronts two levels of model uncertainty. The investor has a set of well defined parametric “structured models” but does not know which of them is best. The investor also suspects that all of the structured models are misspecified. These uncertainties about...

A representative investor does not know which member of a set of well-defined parametric "structured models'' is best. The investor also suspects that all of the structured models are misspecified. These uncertainties about probability distributions of risks give rise to components of...

A representative investor does not know which member of a set of well-defined parametric "structured models'' is best. The investor also suspects that all of the structured models are misspecified. These uncertainties about probability distributions of risks give rise to components of...

Two types of agents have diverse beliefs about the law of motion for an exogenous endowment. One type knows the true law of motion and the other learns about it via Bayes' theorem. Financial market structure affects the dynamics of the distribution of financial wealth. When markets are complete,...