Aggregation under homogeneous ambiguity: a two-fund separation result

DOI10.1007/S00199-005-0051-9MaRDI QIDQ868600zbMATH OpenOpenAlexFDO

Authors Katsutoshi Wakai

Publication date 6 March 2007

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-005-0051-9

zbMATH Keywords

multiple priorsrepresentative agent

Mathematics Subject Classification ID

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

Recommendations

• On aggregation and representative agent equilibria
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Cites work

• Additivity with multiple priors
• Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
• Intertemporal Asset Pricing under Knightian Uncertainty
• Maxmin expected utility with non-unique prior
• Microeconomic theory
• Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
• Recursive multiple-priors.
• Subjective Probability and Expected Utility without Additivity

Cited in

(7)

• On aggregation and representative agent equilibria
• Behavioral biases and the representative agent
• On equilibria when agents have multiple priors
• Belief aggregation for representative agent models
• Nash competitive equilibria and two-period fund separation
• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• Approximation aggregation under uncertainty

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