Equilibrium prices and trade under ambiguous volatility

DOI10.1007/S00199-016-0979-YMaRDI QIDQ2403447zbMATH OpenOpenAlexFDO

Authors Patrick Beissner

Publication date 8 September 2017

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-016-0979-y

zbMATH Keywords

ambiguous volatilityequilibrium price systemsgeneral equilibriuminsurance under ambiguityKnightian uncertaintysingular priorsvariational preferences

Mathematics Subject Classification ID

General equilibrium theory (91B50) Heterogeneous agent models (91B69)

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Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
• Ambiguity aversion and trade
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Ambiguity, uncertainty aversion and equilibrium welfare
• Brownian equilibria under Knightian uncertainty
• Efficient allocations under ambiguity
• Existence and Uniqueness of Equilibria When Preferences are Additively Separable
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• scientific article; zbMATH DE number 48635 (Why is no real title available?)
• scientific article; zbMATH DE number 3378720 (Why is no real title available?)
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Infinite dimensional analysis. A hitchhiker's guide.
• Intertemporal equilibria with Knightian uncertainty
• Knightian decision theory. I.
• Martingale representation theorem for the \(G\)-expectation
• Maxmin expected utility with non-unique prior
• Monetary equilibria and Knightian uncertainty
• Mutual absolute continuity of multiple priors
• Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty
• On equilibrium prices in continuous time
• Optimal investment under model uncertainty in nondominated models
• Risk measuring under model uncertainty
• Sharing Beliefs: Between Agreeing and Disagreeing
• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• Subjective Beliefs and ex ante Trade
• The pricing of options and corporate liabilities
• Variational Bewley preferences
• Weak approximation of \(G\)-expectations

Cited in

(17)

• Price-mediated trade with quantity signals: An axiomatic approach.
• Ambiguity, uncertainty aversion and equilibrium welfare
• An interval of no-arbitrage prices in financial markets with volatility uncertainty
• Asset trading under non-classical ambiguity and heterogeneous beliefs
• A generalized stochastic differential utility driven by G-Brownian motion
• Model uncertainty in commodity markets
• Sharing risk and ambiguity
• Endogenous indeterminacy and volatility of asset prices under ambiguity
• Duality and General Equilibrium Theory Under Knightian Uncertainty
• General equilibrium with uncertainty loving preferences
• The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
• Regular economies with ambiguity aversion
• Optimality in an OLG model with nonsmooth preferences
• Ambiguity aversion and trade
• On mean field stochastic differential equations driven by \(G\)-Brownian motion with averaging principle
• Participation in risk sharing under ambiguity
• A two-person dynamic equilibrium under ambiguity

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