General equilibrium, risk taking and volatility
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
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- 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.
- 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.
- Alain Chateauneuf & Rose Anne Dana & Jean-Marc Tallon, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00451997, HAL.
- Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
- repec:dau:papers:123456789/5461 is not listed on IDEAS
- Luca Rigotti & Chris Shannon & Tomasz Strzalecki, 2008. "Subjective Beliefs and ex ante Trade," Econometrica, Econometric Society, vol. 76(5), pages 1167-1190, September.
- Shannon, Chris & Strzalecki, Tomasz & Rigotti, Luca, 2008. "Subjective Beliefs and Ex Ante Trade," Scholarly Articles 3637104, Harvard University Department of Economics.
- 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. Full references (including those not matched with items on IDEAS)
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