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Titel
Equilibria under Knightian price uncertainty / Patrick Beißner and Frank Riedel
VerfasserBeißner, Patrick In der Gemeinsamen Normdatei der DNB nachschlagen ; Riedel, Frank In der Gemeinsamen Normdatei der DNB nachschlagen
ErschienenBielefeld : Center for Mathematical Economics (IMW), Augsut 2018
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Elektronische Ressource
Umfang1 Online-Ressource (33 Seiten)
SerieCenter for Mathematical Economics Working papers ; 597
URNurn:nbn:de:hbz:6:2-103438 Persistent Identifier (URN)
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Equilibria under Knightian price uncertainty [0.48 mb]
Zusammenfassung

We study economies in which agents face Knightian uncertainty about state prices. Knightian uncertainty leads naturally to nonlinear expectations. We introduce a corresponding equilibrium concept with sublinear prices and prove that equilibria exist under weak conditions. In general, such equilibria lead to Pareto inefficient allocations; the equilibria coincide with Arrow-Debreu equilibria only if the values of net trades are ambiguity-free in the mean. In economies without aggregate uncertainty, inefficiencies are generic. We introduce a constrained efficiency concept, uncertainty-neutral efficiency; equilibrium allocations under price uncertainty are efficient in this constrained sense. Arrow-Debreu equilibria turn out to be non-robust with respect to the introduction of Knightian uncertainty.

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