The Ellsberg paradox suggests that people's behavior is different in risky situations—when
they are given objective probabilities—from their behavior in ambiguous situations—when …

We survey the literature that has explored the implications of decision-making under
ambiguity for financial market outcomes, such as portfolio choice and equilibrium asset …

We survey literature on ambiguity with an emphasis on recent applications in
macroeconomics and finance. Like risk, ambiguity leads to cautious behavior and …

Behavioural economics and behavioural finance are rapidly expanding fields that are
continually growing in prominence. While orthodox economic models are built upon …

This article analyses costly information acquisition in asset markets with Knightian
uncertainty about the asset fundamentals. In these markets, acquiring information not only …

This paper presents conditions for a resolution of the Grossman–Stiglitz paradox of
informationally efficient markets. We display a market with asymmetric information where a …

The quality of information in financial asset markets is often hard to estimate. Reminiscent of
the famous Ellsberg paradox, investors may be unable to form a single probability belief …

We investigate the effect of ambiguity about hedge fund investment strategies on asset
prices and aggregate welfare. We model some traders (mutual funds) as facing ambiguity …

This paper considers a stock market with ambiguity-averse informed investors under the
CARA-normal setting, and studies the relationship between limited market participation and …

When private information is observed by ambiguity averse investors, asset prices may be
informationally inefficient in rational expectations equilibrium. This inefficiency implies lower …