Knight-Walras equilibria

Beißner P, Riedel F (2016) Center for Mathematical Economics Working Papers; 558.
Bielefeld: Center for Mathematical Economics.

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Abstract
Knightian uncertainty leads naturally to nonlinear expectations. We introduce a corresponding equilibrium concept with sublinear prices and establish their existence. In general, such equilibria lead to Pareto inefficiency and coincide with Arrow-Debreu equilibria only if the values of net trades are ambiguity-free in the mean. Without aggregate uncertainty, inefficiencies arise generically. We introduce a constrained efficiency concept, uncertainty-neutral efficiency and show that Knight-Walras equilibrium allocations are efficient in this constrained sense. Arrow-Debreu equilibria turn out to be non-robust with respect to the introduction of Knightian uncertainty.
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Beißner P, Riedel F. Knight-Walras equilibria. Center for Mathematical Economics Working Papers. Vol 558. Bielefeld: Center for Mathematical Economics; 2016.
Beißner, P., & Riedel, F. (2016). Knight-Walras equilibria (Center for Mathematical Economics Working Papers, 558). Bielefeld: Center for Mathematical Economics.
Beißner, P., and Riedel, F. (2016). Knight-Walras equilibria. Center for Mathematical Economics Working Papers, 558, Bielefeld: Center for Mathematical Economics.
Beißner, P., & Riedel, F., 2016. Knight-Walras equilibria, Center for Mathematical Economics Working Papers, no.558, Bielefeld: Center for Mathematical Economics.
P. Beißner and F. Riedel, Knight-Walras equilibria, Center for Mathematical Economics Working Papers, vol. 558, Bielefeld: Center for Mathematical Economics, 2016.
Beißner, P., Riedel, F.: Knight-Walras equilibria. Center for Mathematical Economics Working Papers, 558. Center for Mathematical Economics, Bielefeld (2016).
Beißner, Patrick, and Riedel, Frank. Knight-Walras equilibria. Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 558.
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