Informational efficiency with ambiguous information
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Cites work
- scientific article; zbMATH DE number 3087284 (Why is no real title available?)
- A Definition of Subjective Probability
- A Definition of Uncertainty Aversion
- A behavioral characterization of plausible priors
- A two-person dynamic equilibrium under ambiguity
- Ambiguity and rational expectations equilibria
- Ambiguity aversion and incompleteness of financial markets.
- Ambiguity aversion and the absence of indexed debt
- Ambiguity made precise: A comparative foundation
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Ambiguity, uncertainty aversion and equilibrium welfare
- Competitive Equilibrium Under Uncertainty
- Core and equilibria under ambiguity
- Further results on the informational efficiency of competitive stock markets
- Generic Existence of Completely Revealing Equilibria for Economies with Uncertainty when Prices Convey Information
- Liquidity and asset prices in rational expectations equilibrium with ambiguous information
- Maxmin expected utility with non-unique prior
- On the Efficient Markets Hypothesis
- Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
- Optimization and nonsmooth analysis
- Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
- Risk, ambiguity and the Savage axioms
- Sharing risk and ambiguity
- Strict rational expectations equilibria with diffuseness
- Subjective Probability and Expected Utility without Additivity
- The ambiguity premium vs. the risk premium under limited market participation
- Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
Cited in
(28)- A test of (weak) certainty independence
- Value allocation under ambiguity
- On the core and Walrasian expectations equilibrium in infinite dimensional commodity spaces
- Ambiguous information and dilation: an experiment
- Optimal insurance under adverse selection and ambiguity aversion
- Existence, incentive compatibility and efficiency of the rational expectations equilibrium
- Informational efficiency with trading constraints: a characterization
- Endogenous incompleteness of financial markets: the role of ambiguity and ambiguity aversion
- Blocking efficiency in an economy with asymmetric information
- Ambiguity aversion and trade
- Decision making and trade without probabilities
- Risk, ambiguity, and state-preference theory
- Core and equilibria under ambiguity
- Liquidity and asset prices in rational expectations equilibrium with ambiguous information
- A full characterization of Nash implementation with strategy space reduction
- Information acquisition and welfare effect in a model of competitive financial markets
- Cobb-Douglas preferences under uncertainty
- Pricing rules and Arrow-Debreu ambiguous valuation
- Ambiguity and the value of information
- The pricing effects of ambiguous private information
- A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility
- Ambiguity and the value of information: An almost-objective events analysis
- Multiple markets: new perspective on nonlinear pricing
- Equilibrium in an ambiguity-averse mean-variance investors market
- Dynamic market participation and endogenous information aggregation
- A competitive equilibrium for a warm-glow economy
- The possibility of informationally efficient markets
- Information structures with unawareness
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