GENERAL EQUILIBRIUM WITH UNCERTAINTY LOVING PREFERENCES

• 成果类型: Article
• 署名作者: Araujo, Aloisio; Chateauneuf, Alain; Gama, Juan Pablo; Novinski, Rodrigo
• 署名单位: Instituto Nacional de Matematica Pura e Aplicada (IMPA); IPAG Business School; heSam Universite; Universite Pantheon-Sorbonne; Paris School of Economics; Faculdade de Economia e Financas do Ibmec
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA14777
• 发表日期: 2018
• 页码: 1859-1871
• 关键词: representation; EXISTENCE; utility; RISK

摘要

More and more economists are finding both empirical and experimental evidence of economic behavior that is well beyond classical economics. In particular, empirical evidence (Jullien and Salanie (2000)) and experimental evidence (Kahneman and Tversky (1979)) supported the importance of risk loving, ambiguity loving, and related behavior in economics. However, these types of preferences have not been analyzed in the general equilibrium literature with a finite number of agents because non-convexity of preferences creates difficulty in proving existence of equilibrium. The main result in this paper provides a set of conditions under which equilibrium exists in such economies. We show that uncertainty of aggregate wealth, as well as some dominance of the endowment of the risk averters in the economy, play a role in the existence of Arrow-Debreu equilibria. This result can be extended to ambiguity in the sense of CEU, Smooth Ambiguity, and Variational Preference.