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General equilibrium, risk taking and volatility

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  • Araujo A.
  • Chateauneuf A.
  • Gama-Torres J.
  • Novinski R.

Abstract

Although it is a phenomenon that is routinely observed in financial markets, the interaction between ambiguity averse and ambiguity lovers was not yet analyzed extensively in the literature of general equilibrium, mainly due to technical issues. In this p

Suggested Citation

  • Araujo A. & Chateauneuf A. & Gama-Torres J. & Novinski R., 2014. "General equilibrium, risk taking and volatility," Working Papers 2014-181, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-181
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    File URL: http://www.ipag.fr/wp-content/uploads/recherche/WP/IPAG_WP_2014_181.pdf
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    References listed on IDEAS

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    1. Anderson, Robert M, 1985. "Strong Core Theorems with Nonconvex Preferences," Econometrica, Econometric Society, vol. 53(6), pages 1283-1294, November.
    2. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2005. "A Smooth Model of Decision Making under Ambiguity," Econometrica, Econometric Society, vol. 73(6), pages 1849-1892, November.
    3. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Econometrica, Econometric Society, vol. 74(6), pages 1447-1498, November.
    4. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
    5. Strzalecki, Tomasz & Werner, Jan, 2011. "Efficient allocations under ambiguity," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1173-1194, May.
    6. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56, pages 279-279.
    7. 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.
    8. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
    9. repec:dau:papers:123456789/5461 is not listed on IDEAS
    10. Luca Rigotti & Chris Shannon & Tomasz Strzalecki, 2008. "Subjective Beliefs and ex ante Trade," Econometrica, Econometric Society, vol. 76(5), pages 1167-1190, September.
    11. Tsanakas, Andreas & Christofides, Nicos, 2006. "Risk Exchange with Distorted Probabilities," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 36(01), pages 219-243, May.
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    1. repec:ipg:wpaper:2014-576 is not listed on IDEAS
    2. repec:ipg:wpaper:2014-574 is not listed on IDEAS
    3. repec:ipg:wpaper:2014-458 is not listed on IDEAS

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