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Market Allocations under Ambiguity: A Survey

Author

Listed:
  • Antoine Billot

    (LEMMA - Laboratoire d'économie mathématique et de microéconomie appliquée - UP2 - Université Panthéon-Assas - Sorbonne Universités)

  • Jean-Marc Tallon

    () (PSE - Paris School of Economics, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Panthéon-Sorbonne - ENS Paris - École normale supérieure - Paris - INRA - Institut National de la Recherche Agronomique - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique)

  • Sujoy Mukerji

    (QMUL - Queen Mary University of London)

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), 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 under these models. 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.

Suggested Citation

  • Antoine Billot & Jean-Marc Tallon & Sujoy Mukerji, 2019. "Market Allocations under Ambiguity: A Survey," PSE Working Papers halshs-02173491, HAL.
  • Handle: RePEc:hal:psewpa:halshs-02173491
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-02173491
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    References listed on IDEAS

    as
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    Keywords

    Choquet Expected Utility; Maxmin Expected Utility; No-trade; Risk Sharing; Indeterminacy; Experimental evidence;

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