  Models necessarily capture only parts of a reality. Prediction models aim at
capturing a future reality. In this paper we address the question of how the
future is constructed (or: imagined) in an investment context where market
participants form expectations on the returns of a risky investment. We observe
that the participants' model choices are subject to unforeseeable change. The
objective of the paper is to demonstrate that the resulting uncertainty may be
reduced by incorporating relations among competing models in the estimation
process.
