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Market Allocations under Ambiguity: A Survey

Author

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  • Antoine Billot
  • Sujoy Mukerji
  • Jean-Marc Tallon

Abstract

We review some of the (theoretical) economic implications of David Schmeidler?s models of decision under uncertainty (Choquet expected utility and maxmin expected utility) in competitive market settings. We start with the portfolio inertia result of Dow and Werlang [1992] and show how it does or does not generalize in an equilibrium setting. We further explore the equilibrium implications (indeterminacies, non revelation of information) of these decision models. A section is then devoted to the studies of Pareto optimal arrangements. We conclude with a discussion of experimental evidence for these models that relate, in particular, to the implications for market behaviour discussed in the preceding sections. JEL Codes: D81.

Suggested Citation

  • Antoine Billot & Sujoy Mukerji & Jean-Marc Tallon, 2020. "Market Allocations under Ambiguity: A Survey," Revue économique, Presses de Sciences-Po, vol. 71(2), pages 267-282.
    • Handle: RePEc:cai:recosp:reco_712_0267
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    Cited by:

    1. Thomas W. L. Norman, 2026. "Ambiguity-Averse Aggregation under Heterogeneous Beliefs," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 14(1), pages 1-20, June.

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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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