  Within the setup of continuous-time semimartingale financial markets, we show
that a multiprior Gilboa-Schmeidler minimax expected utility maximizer forms a
portfolio consisting only of the riskless asset if and only if among the
investor's priors there exists a probability measure under which all admissible
wealth processes are supermartingales. Furthermore, we show that under a
certain attainability condition (which is always valid in finite or complete
markets) this is also equivalent to the existence of an equivalent (local)
martingale measure among the investor's priors. As an example, we generalize a
no betting result due to Dow and Werlang.
