We develop a portfolio selection model with heterogenous correlated returns ambiguity and find that ambiguity tastes inferred from investor decisions and beliefs estimated from market data explain the equity home bias puzzle globally. Under worst-case ambiguity aversion, we explain the home bias by beliefs consistent with the market estimates. We also explain the bias by ambiguity aversion averaging about 0.6 globally, closely matching current experimental estimates from US, Dutch, and Chinese population samples. A model prediction under homogeneous ambiguity is verified on a large dataset of US household portfolios, and we document ambiguity as a determinant of household under-diversification.