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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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Citations

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Cited by:
  1. Noé Biheng & Jean-Marc Bonnisseau, 2013. "Regular economies with ambiguity aversion," Documents de travail du Centre d'Economie de la Sorbonne 13083, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  2. Mandler, Michael, 2013. "Endogenous indeterminacy and volatility of asset prices under ambiguity," Theoretical Economics, Econometric Society, vol. 8(3), September.
  3. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer, vol. 48(2), pages 229-242, October.
  4. Luciano Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Economic Theory, Springer, vol. 48(2), pages 243-273, October.
  5. Patrick Beißner, 2013. "Radner equilibria under ambiguous volatility," Working Papers 493, Bielefeld University, Center for Mathematical Economics.
  6. Eisei Ohtaki & Hiroyuki Ozaki, 2013. "Monetary Equilibria and Knightian Uncertainty," Keio/Kyoto Joint Global COE Discussion Paper Series 2012-032, Keio/Kyoto Joint Global COE Program.
  7. Scott Condie & Jayant V. Ganguli, 2011. "Ambiguity and Rational Expectations Equilibria," Review of Economic Studies, Oxford University Press, vol. 78(3), pages 821-845.

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