Sharing Model Uncertainty

• 成果类型: Article
• 署名作者: Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, Jean-Marc
• 署名单位: Kyoto University; University of London; Queen Mary University London; University of Bielefeld; University of Johannesburg; Centre National de la Recherche Scientifique (CNRS); Paris School of Economics
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
• ISSN/ISSBN: 1945-7669
• DOI: 10.1257/mic.20240188
• 发表日期: 2026
• 关键词: insurance markets; asset returns; ambiguity; equilibrium; aversion; beliefs; utility

摘要

This paper examines efficient allocations in economies where consumers exhibit heterogeneous smooth ambiguity preferences and face model uncertainty with a common set of identifiable models. Aggregate endowment is ambiguous. We characterize economies where the representative consumer is of the smooth ambiguity type and derive efficient sharing rules. Heterogeneous ambiguity aversion leads to sharing rules that systematically differ from those in vNM economies. The representative consumer's ambiguity aversion differs from that of the typical consumer; this leads to more compelling asset-pricing predictions. We focus on point-identified models but show that our insights extend to partially identified models.