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Sharing risk and ambiguity

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Author Info

  • Rigotti, Luca
  • Shannon, Chris

Abstract

We study the market implications of ambiguity in common models. We show that generic determinacy is a robust feature in general equilibrium models that allow a distinction between ambiguity and risk.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 147 (2012)
Issue (Month): 5 ()
Pages: 2028-2039

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Handle: RePEc:eee:jetheo:v:147:y:2012:i:5:p:2028-2039

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Web page: http://www.elsevier.com/locate/inca/622869

Related research

Keywords: Ambiguity; General equilibrium theory; Financial markets; Determinacy of equilibria; Variational preferences; Multiple priors;

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References

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  6. Alain Chateauneuf & Rose Anne Dana & Jean-Marc Tallon, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00451997, HAL.
  7. Marciano Siniscalchi, 2003. "A Behavioral Characterization of Plausible Priors," Levine's Bibliography 234936000000000064, UCLA Department of Economics.
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Citations

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Cited by:
  1. Scott Condie & Jayant V. Ganguli, 2011. "Ambiguity and Rational Expectations Equilibria," Review of Economic Studies, Oxford University Press, vol. 78(3), pages 821-845.
  2. repec:hal:journl:halshs-00922782 is not listed on IDEAS
  3. Patrick Beißner, 2013. "Radner equilibria under ambiguous volatility," Working Papers 493, Bielefeld University, Center for Mathematical Economics.
  4. Eisei Ohtaki & Hiroyuki Ozaki, 2013. "Monetary Equilibria and Knightian Uncertainty," Keio/Kyoto Joint Global COE Discussion Paper Series, Keio/Kyoto Joint Global COE Program 2012-032, Keio/Kyoto Joint Global COE Program.
  5. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer, Springer, vol. 48(2), pages 229-242, October.
  6. Alain Chateauneuf & Luciano I. de Castro, 2011. "Ambiguity Aversion and Trade," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1526, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  7. Mandler, Michael, 2013. "Endogenous indeterminacy and volatility of asset prices under ambiguity," Theoretical Economics, Econometric Society, Econometric Society, vol. 8(3), September.
  8. Noé Biheng & Jean-Marc Bonnisseau, 2013. "Regular economies with ambiguity aversion," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 13083, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

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