  A range of empirical puzzles in finance has been explained as a consequence
of traders being averse to ambiguity. Ambiguity averse traders can behave in
financial portfolio problems in ways that cannot be rationalized as maximizing
subjective expected utility. However, this paper shows that when traders have
access to limit orders, all investment behavior of an ambiguity-averse
decision-maker is observationally equivalent to the behavior of a subjective
expected utility maximizer with the same risk preferences; ambiguity aversion
has no additional explanatory power.
