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Robustness and ambiguity aversion in general equilibrium

Trojani, Fabio ; Vanini, Paolo

In: Review of Finance, 2004, vol. 8, no. 2, p. 279-324

We analyze the empirical predictions arising from settings of ambiguity aversion in intertemporal heterogenous agents economies. We study equilibria for two tractable wealth-homothetic settings of ambiguity aversion in continuous time. Such settings are motivated by a different robust control optimization problem. We show that ambiguity aversion affects optimal portfolio exposures in a way that...