Ambiguity aversion in the long run: To disagree, we must also agree

• 成果类型: Article
• 署名作者: Araujo, Aloisio; da Silva, Pietro; Faro, Jose Heleno
• 署名单位: Instituto Nacional de Matematica Pura e Aplicada (IMPA); Getulio Vargas Foundation; Universidade Federal de Sergipe; Insper
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2016.04.008
• 发表日期: 2016
• 页码: 242-256
• 关键词: Ambiguity aversion; bankruptcy; complete markets; Convergence of beliefs; Punishments; Smooth ambiguity model

摘要

We consider an economy populated by smooth ambiguity-averse agents with complete markets of securities contingent to economic scenarios, where bankruptcy is permitted but there is a penalty for it. We show that if agents' posterior belief reductions given by their average probabilistic beliefs do not become homogeneous then an equilibrium does not exist. It is worth noting that our main result does not imply any convergence of ambiguity perception or even the attitudes towards it. In this way, complete markets with default and punishment allow for ambiguity aversion in the long run, and the agents can disagree on their ambiguity perception but they must agree on their expected beliefs. (C) 2016 Elsevier Inc. All rights reserved.