This paper addresses the issue of ambiguity in continuous-time utility models, which typically assume that beliefs are represented by a single probability measure. The authors introduce a continuous-time version of multiple-priors utility, where ambiguity aversion is explicitly considered. This model is applied to a representative agent asset market setting, leading to restrictions on excess returns that reflect both a risk premium and an ambiguity premium. The paper provides a detailed formulation of the recursive multiple-priors utility model, including its properties and applications to asset pricing. It also discusses the implications of this model for understanding the equity premium puzzle and the home-bias puzzle in asset markets. The authors argue that their model offers a more robust explanation for these puzzles compared to traditional risk-based models.This paper addresses the issue of ambiguity in continuous-time utility models, which typically assume that beliefs are represented by a single probability measure. The authors introduce a continuous-time version of multiple-priors utility, where ambiguity aversion is explicitly considered. This model is applied to a representative agent asset market setting, leading to restrictions on excess returns that reflect both a risk premium and an ambiguity premium. The paper provides a detailed formulation of the recursive multiple-priors utility model, including its properties and applications to asset pricing. It also discusses the implications of this model for understanding the equity premium puzzle and the home-bias puzzle in asset markets. The authors argue that their model offers a more robust explanation for these puzzles compared to traditional risk-based models.