We relax assumptions on individual risk preference, and set two theoretical rules for portfolio choices: either … minimize or maximize risk, for any return. Risk is modeled by four alternative formulas. We empirically test these rules by … uniquely consider 'money'; or they experience a 'subjective' perception of money. We find a large dominance of risk …

they know more about, even when their beliefs are held constant. (They are averse to "ambiguity", or uncertainty about … probability.) We review evidence, recent theoretical explanations, and applications of research on ambiguity and SEU. …

notions of second- order risk. This finding is robust even when there is only partial ambiguity, and is applicable to all … (KMM) interpret ambiguity aversion as aversion against second-order risks associated with ambiguous acts. We design an … utility all predict unequivocally that risk-averse decision makers (DMs) will avoid the 50 - 50 urn that exhibits the highest …

coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The … following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness …

ambiguity averse relation. First, we define two notions of more ambiguous with respect to such a class. A more ambiguous (I) act … makes an ambiguity averse decision maker (DM) worse off but does not affect the welfare of an ambiguity neutral DM. A more … ambiguous (II) act adversely affects a more ambiguity averse DM more, as measured by the compensation they require to switch …

models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … pricing models with smooth ambiguity. Statistical model comparison shows that models with ambiguity, learning and time …-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

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

In this paper we investigate how the experience of stock market shocks, like the COVID-19 crash, influences risk taking … behavior. To isolate changes in risk taking from a variety of other confounding factors during stock market crashes, we ran …

be stable over time. In this paper, we analyze the stability of ambiguity preferences experimentally. We repeatedly … elicit ambiguity attitudes towards multiple 3-color Ellsberg urns over a period of two months. In our data, 57% of the …

high. Attitudes towards risk and attitudes towards ambiguity are disentangled, providing pure measures of ambiguity … aversion. Ambiguity aversion is captured in several ways, i.e. as a discount factor net of a risk premium, and as an estimated … intermediate levels of ambiguity aversion. Moreover, we find risk aversion to be statistically unrelated to ambiguity aversion on …