Sharing risk and ambiguity

• 成果类型: Article
• 署名作者: Rigotti, Luca; Shannon, Chris
• 署名单位: University of California System; University of California Berkeley; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2012.05.009
• 发表日期: 2012
• 页码: 2028-2039
• 关键词: Ambiguity; General equilibrium theory; financial markets; Determinacy of equilibria; Variational preferences; multiple priors

摘要

We study the market implications of ambiguity in common models. We show that generic determinacy is a robust feature in general equilibrium models that allow a distinction between ambiguity and risk. (C) 2012 Elsevier Inc. All rights reserved.