A dynamic extension of max-min preferences allows a decision maker to consider both a parametric family of what we call structured models and unstructured alternatives that are statistically close to them. The decision maker suspects that parameter values vary over time in unknown ways that he cannot describe probabilistically. Because he suspects that all of these parametric models are misspecied, he evaluates decisions under alternative probability distributions with much less structure. We characterize equilibrium uncertainty prices by confronting a representative investor with a portfolio choice problem. We offer a quantitative illustration that focuses on the investor’s uncertainty about the size and persistence of macroeconomic growth rates. Nonlinearities in marginal valuations induce time variations in market prices of uncertainty. Prices of uncertainty fluctuate because a representative investor especially fears high persistence in bad states and low persistence in good ones.

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