investors' effective risk aversion. Using this utility function, we extend the "no good deals" methodology of Cochrane and Saá … uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases … some numerical examples. -- asset pricing theory ; good-deal bounds ; Knightian uncertainty ; model uncertainty …

Based on a simple prior, this note derives upper bounds for the coefficient of absolute & relative risk aversion if … utility can be written as depending linearly on the mean and variance of income. …