  This paper investigates the equilibrium portfolio selection for smooth
ambiguity preferences in a continuous-time market. The investor is uncertain
about the risky asset's drift term and updates the subjective belief according
to the Bayesian rule. Two versions of the verification theorem are established
and an equilibrium strategy can be decomposed into a myopic demand and two
hedging demands. When the prior is Gaussian, the closed-form equilibrium
solution is obtained. A puzzle in the numerical results is interpreted via an
alternative representation of the smooth ambiguity preferences.
