Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - In: Review of Financial Studies 22 (2009) 10, pp. 4157-4188
This paper studies the term structure implications of a simple structural model in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...