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Sharing risk and ambiguity

Listed author(s):
  • Rigotti, Luca
  • Shannon, Chris

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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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
DOI: 10.1016/j.jet.2012.05.009
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622869

References listed on IDEAS
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  1. Sujoy Mukerji & Jean-Marc Tallon, 2000. "Ambiguity Aversion and Incompleteness of Financial Markets," Economics Series Working Papers 46, University of Oxford, Department of Economics.
  2. Mitchel Y. Abolafia (ed.), 2005. "Markets," Books, Edward Elgar Publishing, number 2788.
  3. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
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  5. Itzhak Gilboa & David Schmeidler, 1989. "Maxmin Expected Utility with Non-Unique Prior," Post-Print hal-00753237, HAL.
  6. Kajii, Atsushi & Ui, Takashi, 2009. "Interim efficient allocations under uncertainty," Journal of Economic Theory, Elsevier, vol. 144(1), pages 337-353, January.
  7. Tomasz Strzalecki, "undated". "Axiomatic Foundations of Multiplier Preferences," Working Paper 8239, Harvard University OpenScholar.
  8. Larry G. Epstein, 2001. "Sharing Ambiguity," American Economic Review, American Economic Association, vol. 91(2), pages 45-50, May.
  9. Lars Peter Hansen & Thomas J. Sargent & Thomas D. Tallarini, 1999. "Robust Permanent Income and Pricing," Review of Economic Studies, Oxford University Press, vol. 66(4), pages 873-907.
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  11. Jean-Marc Tallon, 1998. "Asymmetric Information, Nonadditive Expected Utility, and the Information Revealed by Prices: An Example," Post-Print halshs-00502491, HAL.
  12. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2008. "Uncertainty Averse Preferences," Carlo Alberto Notebooks 77, Collegio Carlo Alberto.
  13. Cerreia-Vioglio, Simone, 2016. "Objective rationality and uncertainty averse preferences," Theoretical Economics, Econometric Society, vol. 11(2), May.
  14. Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March.
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  16. Daniel Ellsberg, 1961. "Risk, Ambiguity, and the Savage Axioms," The Quarterly Journal of Economics, Oxford University Press, vol. 75(4), pages 643-669.
  17. Rose-Anne Dana, 2002. "On Equilibria when Agents Have Multiple Priors," Annals of Operations Research, Springer, vol. 114(1), pages 105-115, August.
  18. repec:dau:papers:123456789/5393 is not listed on IDEAS
  19. Rigotti, Luca & Shannon, Chris, 2001. "Uncertainty and Risk in Financial Markets," Department of Economics, Working Paper Series qt6m42r5rr, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  20. Dow, James & Werlang, Sergio Ribeiro da Costa, 1992. "Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio," Econometrica, Econometric Society, vol. 60(1), pages 197-204, January.
  21. Marciano Siniscalchi, 2003. "A Behavioral Characterization of Plausible Priors," Levine's Bibliography 234936000000000064, UCLA Department of Economics.
  22. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," Working Papers 04-20, New York University, Leonard N. Stern School of Business, Department of Economics.
  23. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2002. "A smooth model of decision making under ambiguity," ICER Working Papers - Applied Mathematics Series 11-2003, ICER - International Centre for Economic Research, revised Apr 2003.
  24. Rui Pascoa, Mario & Ribeiro da Costa Werlang, Sergio, 1999. "Determinacy of equilibria in nonsmooth economies," Journal of Mathematical Economics, Elsevier, vol. 32(3), pages 289-302, November.
  25. Debreu, Gerard, 1970. "Economies with a Finite Set of Equilibria," Econometrica, Econometric Society, vol. 38(3), pages 387-392, May.
  26. Easley, David & O'Hara, Maureen, 2010. "Liquidity and valuation in an uncertain world," Journal of Financial Economics, Elsevier, vol. 97(1), pages 1-11, July.
  27. Robert F. Nau, 2006. "Uncertainty Aversion with Second-Order Utilities and Probabilities," Management Science, INFORMS, vol. 52(1), pages 136-145, January.
  28. Mas-Colell,Andreu, 1990. "The Theory of General Economic Equilibrium," Cambridge Books, Cambridge University Press, number 9780521388702, December.
  29. repec:hal:journl:halshs-00174539 is not listed on IDEAS
  30. Shannon, Chris, 1994. "Regular nonsmooth equations," Journal of Mathematical Economics, Elsevier, vol. 23(2), pages 147-165, March.
  31. Rose-Anne Dana, 2004. "Ambiguity, uncertainty aversion and equilibrium welfare," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 23(3), pages 569-587, March.
  32. Pascal J. Maenhout, 2004. "Robust Portfolio Rules and Asset Pricing," Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 951-983.
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