Ambiguity and Rational Expectations Equilibria

• 成果类型: Article
• 署名作者: Condie, Scott; Ganguli, Jayant V.
• 署名单位: Brigham Young University; University of Cambridge
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdq032
• 发表日期: 2011
• 页码: 821-845
• 关键词: generic existence; expected utility; uncertainty; INFORMATION; MARKET; aversion; prices; MODEL; RISK; revelation

摘要

This paper demonstrates the existence and robustness of partially revealing rational expectations equilibria in general exchange economies when some traders have non-smooth ambiguity-averse preferences. This finding illustrates that models with non-smooth ambiguity aversion provide a relatively tractable framework through which partial information revelation may be studied in a general equilibrium setting without relying on particular distributional or von Neumann-Morgenstern utility assumptions or the presence of noise.