Internet Appendix for 'Ambiguity and Reality'

38 Pages Posted: 17 Feb 2013 Last revised: 4 Dec 2014

See all articles by Fabio Trojani

Fabio Trojani

University of Geneva; University of Turin - Department of Statistics and Applied Mathematics; Swiss Finance Institute

Christian Wiehenkamp

affiliation not provided to SSRN

Jan Wrampelmeyer

Vrije Universiteit Amsterdam, School of Business and Economics

Date Written: December 4, 2014

Abstract

This internet appendix provides additional derivations, results, and robustness checks to support the findings of the main paper.

The paper "Ambiguity and Reality" to which this appendix applies is available at the following URL: http://ssrn.com/abstract=1668569

Keywords: Knightian Uncertainty, Model Risk, Ambiguity Aversion, Robust Econometrics, Portfolio Choice, Option Pricing

JEL Classification: C13, C15, D81, G11, G12

Suggested Citation

Trojani, Fabio and Wiehenkamp, Christian and Wrampelmeyer, Jan, Internet Appendix for 'Ambiguity and Reality' (December 4, 2014). Available at SSRN: https://ssrn.com/abstract=2218212 or http://dx.doi.org/10.2139/ssrn.2218212

Fabio Trojani

University of Geneva ( email )

Geneva, Geneva
Switzerland

University of Turin - Department of Statistics and Applied Mathematics ( email )

Piazza Arbarello, 8
Turin, I-10122
Italy

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Christian Wiehenkamp

affiliation not provided to SSRN

Jan Wrampelmeyer (Contact Author)

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

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