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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- David Schmeidler, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Levine's Working Paper Archive
7662, David K. Levine.
- Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-87, May.
- Anderson, Robert M, 1985. "Strong Core Theorems with Nonconvex Preferences," Econometrica, Econometric Society, vol. 53(6), pages 1283-94, November.
- Luca Rigotti & Chris Shannon & Tomasz Strzalecki, 2008.
"Subjective Beliefs and ex ante Trade,"
Econometric Society, vol. 76(5), pages 1167-1190, 09.
- Tomasz Strzalecki & Jan Werner, .
"Efficient Allocations under Ambiguity,"
8325, Harvard University OpenScholar.
- Sujoy Mukerji & Peter Klibanoff, 2002.
"A Smooth Model of Decision,Making Under Ambiguity,"
Economics Series Working Papers
113, University of Oxford, Department of Economics.
- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006.
"Ambiguity Aversion, Robustness, and the Variational Representation of Preferences,"
Econometric Society, vol. 74(6), pages 1447-1498, November.
- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2004. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Carlo Alberto Notebooks 12, Collegio Carlo Alberto, revised 2006.
- 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)
- 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.
- repec:hal:journl:halshs-00451997 is not listed on IDEAS
- repec:dau:papers:123456789/5461 is not listed on IDEAS
- Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
- 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.
- 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.
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