Risque microéconomique, aversion à l'incertitude et indétermination de l'équilibre
AbstractThis paper studies the properties of a general equilibrium model with purely microeconomic risk, in which agents behave according to Choquet expected utility (i.e., they maximize a non-additive expected utility). This formalization represents a behavior exhibiting uncertainty aversion or pessimism. Under the assumption that there is a minimal consensus in the economy, it is shown that agents are fully insured at an equilibrium, that the equilibrium allocation is indeterminate, and that the size of the equilibrium set increases with the degree of uncertainty aversion.
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Bibliographic InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (1997)
Issue (Month): 48 ()
Other versions of this item:
- Tallon, J.M., 1996. "Risque microeconomique, aversion a l'incertitude et indermination de l'equilibre," Papiers d'Economie MathÃÂ©matique et Applications 96.12, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1).
- D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
- D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models
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- Sujoy Mukerji & Jean-Marc Tallon, 2000.
"Ambiguity Aversion and Incompleteness of Financial Markets,"
Economics Series Working Papers
46, University of Oxford, Department of Economics.
- Mukerji, Sujoy & Tallon, Jean-Marc, 2001. "Ambiguity Aversion and Incompleteness of Financial Markets," Review of Economic Studies, Wiley Blackwell, vol. 68(4), pages 883-904, October.
- Mukerji, S. & Tallon, J.-M., 1999. "Ambiguity Aversion and Incompleteness of Financial Markets," Papiers d'Economie MathÃÂ©matique et Applications 1999-28, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1).
- Sujoy Mukerji & Jean-Marc Tallon, 2001. "Ambiguity Aversion and Incompleteness of Financial Markets," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00174539, HAL.
- repec:ner:dauphi:urn:hdl:123456789/5461 is not listed on IDEAS
- Trabelsi, Mohamed Ali, 2006.
"Les nouveaux modèles de décision dans le risque et l’incertain : quel apport ?
[The new models of decision under risk or uncertainty : What approach?]," MPRA Paper 25442, University Library of Munich, Germany.
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