# Ambiguity in Asset Markets : Theory and Experiment 1

@inproceedings{Bossaerts2009AmbiguityIA, title={Ambiguity in Asset Markets : Theory and Experiment 1}, author={Peter Bossaerts and Paolo Ghirardato and Serena Guarnaschelli and William R. Zame}, year={2009} }

This paper studies the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in competitive financial markets. It argues that attitudes toward ambiguity are heterogeneous across the population, just as attitudes toward risk are heterogeneous across the population, but that heterogeneity of attitudes toward ambiguity has different implications than heterogeneity of attitudes toward risk. In particular, when some state probabilities are not known, agents… Expand

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