populated by bothstandard expected utility maximizers and by ambiguity-averse investors that trade in the market fora risky … asset. We show that, provided there is a sufficient amount of ambiguity, market breakdownswhere large portions of traders …

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 …

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward … from the agent's ambiguity aversion. We show how to use these general results for search problems and American Options. …

We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward …

only possible if all discounted net trades of the equilibrium allocation are mean ambiguity-free. …

-Debreu equilibria only if the values of net trades are ambiguity-free in the mean. Without aggregate uncertainty, inefficiencies arise …

ambiguity aversion in the spirit of Klibanoff et al. (2005). I calibrate the model to the post-war US data. The main findings … unconditional mean of equity premium. -- Countercylical ; Equity premium ; Markov switching ; Smooth ambiguity ; Stochastic growth …

and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation … ambiguity premium and risk premium demonstrate that a decrease in ambiguity premium on volatility gives rise to an increase in … risk premium.Kelly criterion for the wealth process to reach a goal is also studied under such ambiguous market. Ambiguity …