According to the risk-free rate puzzle the return on safe assests is much lower than predicted by standard representative agent models of consumption based asset pricing. Based on non-additive probability measures arising in Choquet decision theory we develop a closed-form model of Bayesian learning in which the Choquet estimator of the mean consumption growth rate does not converge to its "true" value. It rather expresses a bias that reflects the agents ambiguity about his estimator. We calibrate the standard equilibrium conditions of the consumption based asset pricing model th demonstrate that our approach contributes to a resolution of the risk-free rate puzzle when the agent´s learning process exhibits a moderate degree of ambiguity that is resolved in a pessimistic way.
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