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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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File URL: http://www.sciencedirect.com/science/article/pii/S0022053112000634
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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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  27. Chateauneuf, Alain & Dana, Rose-Anne & Tallon, Jean-Marc, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," Journal of Mathematical Economics, Elsevier, vol. 34(2), pages 191-214, October.
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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. Luciano Castro & Alain Chateauneuf, 2011. "Ambiguity aversion and trade," Economic Theory, Springer, vol. 48(2), pages 243-273, October.
  3. Noé Biheng & Jean-Marc Bonnisseau, 2013. "Regular economies with ambiguity aversion," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00922782, HAL.
  4. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer, vol. 48(2), pages 229-242, October.
  5. Patrick Beißner, 2013. "Radner equilibria under ambiguous volatility," Working Papers 493, Bielefeld University, Center for Mathematical Economics.
  6. Mandler, Michael, 2013. "Endogenous indeterminacy and volatility of asset prices under ambiguity," Theoretical Economics, Econometric Society, vol. 8(3), September.
  7. 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.

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