Ambiguity aversion and household portfolio choice puzzles: Empirical evidence.

We test the relation between ambiguity aversion and five household portfolio choice puzzles: nonparticipation in equities, low allocations to equity, home-bias, own-company stock ownership, and portfolio under-diversification. In a representative US household survey, we measure ambiguity preferences using custom-designed questions based on Ellsberg urns. As theory predicts, ambiguity aversion is negatively associated with stock market participation, the fraction of financial assets in stocks, and foreign stock ownership, but it is positively related to own-company stock ownership.

Estimating ambiguity preferences and perceptions in multiple prior models: Evidence from the field.

We develop a tractable method to estimate multiple prior models of decision-making under ambiguity. In a representative sample of the U.S.

Endogenous Price Bubbles in a Multi-Agent System of the Housing Market.

Economic history shows a large number of boom-bust cycles, with the U.S. real estate market as one of the latest examples.