Summary: This paper provides a general analysis of intertemporal utility based on the multiple-priors model of aversion to “Knightian” uncertainty. Then the existence of equilibrium is proven for a representative agent security market model. It is shown that uncertainty aversion can invalidate the existence of a risk-neutral measure representation for prices. In addition, an example suggests an intriguing link between uncertainty aversion and the possibility of abrupt changes in security prices. The analysis relies heavily on a Fubini-type theorem for analytic functions due to C. Dellacherie and P.-A. Meyer [‘Probabilities and potential C. Potential theory for discrete and continuous semigroups’ (1988; Zbl 0716.60001)].