Limit Orders and Knightian Uncertainty
研究了在奈特不确定性下，限价订单如何帮助规避模糊性的交易者降低不确定性暴露，并证明使用限价订单的模糊规避交易者与风险偏好相同的模糊中性交易者在行为上无法区分。
ABSTRACT A wide variety of financial instruments allows risk‐averse traders to reduce their exposure to risk. This raises the question of what financial instruments allow ambiguity‐averse traders to reduce their exposure to ambiguity. We show in this paper that price‐contingent orders, such as limit orders, are sufficient: In a two‐period trading model, an ambiguity‐averse trader who trades with limit orders is observationally indistinguishable from an ambiguity‐neutral trader with the same risk preferences.