On equilibria when agents have multiple priors

DOI10.1023/A:1021006118400MaRDI QIDQ1854740zbMATH OpenFDO

Authors R. A. Dana

Publication date 27 January 2003

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1021006118400

zbMATH Keywords

agent's beliefCEU maximizermultiple priorsno-trade equilibrium

Mathematics Subject Classification ID

Special types of economic equilibria (91B52) Special types of economic markets (including Cournot, Bertrand) (91B54)

Review text

Within the scope of a two period \(n\) agents pure exchange economy the author discusses the existence of equilibria (and some properties of them), based on assumptions concerning properties of the agents and their sets of priors. Main results concern the cases when the agents have a common prior or not.

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• Option implied ambiguity and its information content: evidence from the subprime crisis
• Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty
• Interim efficiency with MEU-preferences
• Agency equilibrium
• When does aggregation reduce risk aversion?
• Intertemporal equilibria with Knightian uncertainty
• Risk Exchange with Distorted Probabilities
• Existence of financial equilibria in continuous time with potentially complete markets
• Sharing risk and ambiguity
• Optimal risk-sharing under mutually singular beliefs
• Uncertain equilibria and incomplete preferences
• Equilibria under Knightian price uncertainty
• Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling
• Ambiguity aversion and trade
• Optimal Risk Sharing for Maxmin Choquet Expected Utility Model
• Pareto-optimal peer-to-peer risk sharing with robust distortion risk measures
• Counter-monotonic risk sharing with heterogeneous distortion risk measures
• Aggregation under homogeneous ambiguity: a two-fund separation result

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