Efficient allocations under ambiguity

• 成果类型: Article
• 署名作者: Strzalecki, Tomasz; Werner, Jan
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Harvard University; Princeton University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.04.002
• 发表日期: 2011
• 页码: 1173-1194
• 关键词: Risk sharing; ambiguity aversion; Conditional beliefs; common prior

摘要

Important implications of the expected utility hypothesis and risk aversion are that if agents have the same probability belief, then consumption plans in every efficient allocation of resources under uncertainty are comonotone with the aggregate endowment, and if their beliefs are concordant, then the consumption plans are measurable with respect to the aggregate endowment. We study these two properties of efficient allocations for models of preferences that exhibit ambiguity aversion using the concept of conditional beliefs, which we introduce in this paper. We provide characterizations of such conditional beliefs for the standard models of preferences used in applications. (C) 2011 Elsevier Inc. All rights reserved.