This paper studies the pricing implications of the sole ambiguity aversion, in a Lucas’ tree economy where asset returns are ambiguous. Abstracting from a specific functional form, we disentangle the model-specific effect from the effect of ambiguity aversion. In addition, we allow the...

We introduce and axiomatize dynamic variational preferences, the dynamic version of the variational preferences we axiomatized in [21], which generalize the multiple priors preferences of Gilboa and Schmeidler [9], and include the Multiplier Preferences inspired by robust control and first used...