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On Equilibria when Agents Have Multiple Priors

  • Dana, Rose-Anne

We discuss the existence and the qualitative properties of equilibria when agents have multiple priors and there is only one good in each state of the world. We first prove a general existence result in infinite dimension economies. We then fully describe the equilibria in two special cases. We first consider the case of CEU maximizers that have same capacities. We next consider the case of no aggregate uncertainty. We prove that if agents have non-random initial endowments and are uncertainty averse and maximize the minimal expected utility according to a set of possible priors, then the existence of a common prior is equivalent to the existence of a unique equilibrium, the no-trade equilibrium. We lastly give a mild assumption for indeterminacy of equilibria and compute the dimension of indeterminacy.

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Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/5456.

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Date of creation: 2002
Date of revision:
Publication status: Published in Annals of Operations Research, 2002, Vol. 114, no. 1-4. pp. 105-115.Length: 10 pages
Handle: RePEc:dau:papers:123456789/5456
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