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Core and equilibria under ambiguity

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  • Luciano Castro
  • Marialaura Pesce
  • Nicholas Yannelis

Abstract

This paper introduces new core and Walrasian equilibrium notions for an asymmetric information economy with non-expected utility preferences. We prove existence and incentive compatibility results for the new notions we introduce.
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Suggested Citation

  • Luciano Castro & Marialaura Pesce & Nicholas Yannelis, 2011. "Core and equilibria under ambiguity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 519-548, October.
    • Handle: RePEc:spr:joecth:v:48:y:2011:i:2:p:519-548
    DOI: 10.1007/s00199-011-0637-3
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    20. Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 469-491, October.
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    More about this item

    Keywords

    Maximin core; Maximin Walrasian equilibrium; Incentive compatibility; Ambiguity; ex ante; interim and ex post preferences; D51; D6; D8;
    All these keywords.

    JEL classification:

    • D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
    • D6 - Microeconomics - - Welfare Economics
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty

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