We review recent advances in the field of decision making under uncertainty or ambiguity.
We start with a presentation of the general approach to a decision problem under …

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 …

This paper assesses the quantitative impact of ambiguity on historically observed financial
asset returns and growth rates. The single agent, in a dynamic exchange economy, treats …

Stocks with high uncertainty about risk, as measured by the volatility of expected volatility
(vol-of-vol), robustly underperform stocks with low uncertainty about risk by 8% per year …

We extend Ellsberg's two‐urn paradox and propose three symmetric forms of partial
ambiguity by limiting the possible compositions in a deck of 100 red and black cards in three …

Previous research has shown that individual decision making is often characterized by
inertia—that is, a tendency for decision makers to choose options that maintain the status …

Many health risks are ambiguous in the sense that reliable and credible information about
these risks is unavailable. In health economics, ambiguity is usually handled through …

We study an investor's optimal consumption and portfolio choice problem when he is
confronted with two possibly misspecified submodels of stock returns: one with IID returns …

In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity
model that allows for a separation among intertemporal substitution, risk aversion, and …

In this paper, we present a computationally tractable optimization method for a robust mean-
CVaR portfolio selection model under the condition of distribution ambiguity. We develop an …