Twisted probabilities, uncertainty, and prices
决策者构造一组非负鞅作为似然比，代表统计上接近基准模型的替代模型，通过最大最小期望效用得到不确定性价格，并用三个定量例子展示技术冲击的长期风险如何影响消费动态和不确定性价格。
A decision maker constructs a convex set of nonnegative martingales to use as likelihood ratios that represent alternatives that are statistically close to a decision maker's baseline model. The set is twisted to include some specific models of interest. Max–min expected utility over that set gives rise to equilibrium prices of model uncertainty expressed as worst-case distortions to drifts in a representative investor's baseline model. Three quantitative illustrations start with baseline models having exogenous long-run risks in technology shocks. These put endogenous long-run risks into consumption dynamics that differ in details that depend on how shocks affect returns to capital stocks. We describe sets of alternatives to a baseline model that generate countercyclical prices of uncertainty.