Intertemporal equilibria with Knightian uncertainty

Dana R-A, Riedel F (2010) Working Papers. Institute of Mathematical Economics; 440.
Bielefeld: Center for Mathematical Economics.

Diskussionspapier | Veröffentlicht | Englisch
 
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Dana, Rose-Anne; Riedel, FrankUniBi
Abstract / Bemerkung
We study a dynamic and infinite-dimensional model with Knightian uncertainty modeled by incomplete multiple prior preferences. In interior efficient allocations, agents share a common risk-adjusted prior and use the same subjective interest rate. Interior efficient allocations and equilibria coincide with those of economies with subjective expected utility and priors from the agents' multiple prior sets. We show that the set of equilibria with inertia contains the equilibria of the economy with variational preferences anchored at the initial endowments. A case study in an economy without aggregate uncertainty shows that risk is fully insured, while uncertainty can remain fully uninsured. Pessimistic agents with Gilboa-Schmeidler's max-min preferences would fully insure risk and uncertainty.
Stichworte
Knightian Uncertainty; Ambiguity; Incomplete Preferences; General Equilibrium Theory; No Trade
Erscheinungsjahr
2010
Band
440
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2909314

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Dana R-A, Riedel F. Intertemporal equilibria with Knightian uncertainty. Working Papers. Institute of Mathematical Economics. Vol 440. Bielefeld: Center for Mathematical Economics; 2010.
Dana, R. - A., & Riedel, F. (2010). Intertemporal equilibria with Knightian uncertainty (Working Papers. Institute of Mathematical Economics, 440). Bielefeld: Center for Mathematical Economics.
Dana, R. - A., and Riedel, F. (2010). Intertemporal equilibria with Knightian uncertainty. Working Papers. Institute of Mathematical Economics, 440, Bielefeld: Center for Mathematical Economics.
Dana, R.-A., & Riedel, F., 2010. Intertemporal equilibria with Knightian uncertainty, Working Papers. Institute of Mathematical Economics, no.440, Bielefeld: Center for Mathematical Economics.
R.-A. Dana and F. Riedel, Intertemporal equilibria with Knightian uncertainty, Working Papers. Institute of Mathematical Economics, vol. 440, Bielefeld: Center for Mathematical Economics, 2010.
Dana, R.-A., Riedel, F.: Intertemporal equilibria with Knightian uncertainty. Working Papers. Institute of Mathematical Economics, 440. Center for Mathematical Economics, Bielefeld (2010).
Dana, Rose-Anne, and Riedel, Frank. Intertemporal equilibria with Knightian uncertainty. Bielefeld: Center for Mathematical Economics, 2010. Working Papers. Institute of Mathematical Economics. 440.
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2019-09-06T09:18:43Z
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