Ambiguity aversion and trade
From MaRDI portal
Publication:641835
DOI10.1007/s00199-011-0642-6zbMath1277.91132MaRDI QIDQ641835
Luciano I. de Castro, Alain Chateauneuf
Publication date: 25 October 2011
Published in: Economic Theory (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/59660
Related Items
COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES, PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS, RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES, AN ECONOMIC PREMIUM PRINCIPLE UNDER THE DUAL THEORY OF THE SMOOTH AMBIGUITY MODEL, Equilibria Under Knightian Price Uncertainty, Optimality in an OLG model with nonsmooth preferences, Optimal allocations with α‐MaxMin utilities, Choquet expected utilities, and prospect theory, A test of (weak) certainty independence, A full characterization of Nash implementation with strategy space reduction, Savings and default, The best choice problem under ambiguity, Cobb-Douglas preferences under uncertainty, Optimal insurance design of ambiguous risks, Efficient allocations under ambiguity, Decision making and trade without probabilities, Dynamic consistency for non-expected utility preferences, Pricing rules and Arrow-Debreu ambiguous valuation, Participation in risk sharing under ambiguity, Uncertainty, efficiency and incentive compatibility: ambiguity solves the conflict between efficiency and incentive compatibility, Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty, Decision making in phantom spaces, The effect of the central bank's standing facilities on interbank lending and bank liquidity holding, Value allocation under ambiguity, Equilibrium prices and trade under ambiguous volatility, Bilateral risk sharing in a comonotone market with rank-dependent utilities
Cites Work
- Unnamed Item
- Sharing risk and ambiguity
- Efficient allocations under ambiguity
- Informational efficiency with ambiguous information
- Definitions of ambiguous events and the smooth ambiguity model
- Decision making and trade without probabilities
- Liquidity and asset prices in rational expectations equilibrium with ambiguous information
- Rational preferences under ambiguity
- Ambiguity made precise: A comparative foundation
- On additivity of the integral
- Portfolio inertia under ambiguity
- A two-person dynamic equilibrium under ambiguity
- Expected utility with purely subjective non-additive probabilities
- Maxmin expected utility with non-unique prior
- Do sunspots matter when agents are Choquet-expected-utility maximizers?
- Additivity with multiple priors
- Choquet expected utility with a finite state space: Commutativity and act-independence
- On indepedence for non-additive measures, with a Fubini theorem
- Maxmin expected utility over Savage acts with a set of priors
- Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
- Capacities and probabilistic beliefs: a precarious coexistence
- On equilibria when agents have multiple priors
- Knightian decision theory. I.
- Subjective ambiguity, expected utility and Choquet expected utility
- Characterization of symmetrical monotone risk aversion in the RDEU model.
- Ambiguity, uncertainty aversion and equilibrium welfare
- Differentiating ambiguity and ambiguity attitude
- Ambiguous events and maxmin expected utility
- Ambiguity Aversion and Incompleteness of Financial Markets
- Risk, Ambiguity, and the Savage Axioms
- Subjective Beliefs and ex ante Trade
- Subjective Probability and Expected Utility without Additivity
- Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
- Integral Representation Without Additivity
- A Definition of Uncertainty Aversion
- Intertemporal Asset Pricing under Knightian Uncertainty
- Sharing Beliefs: Between Agreeing and Disagreeing
- Subjective Probabilities on Subjectively Unambiguous Events
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Uncertainty and Risk in Financial Markets
- A Subjective Spin on Roulette Wheels
