A two-person dynamic equilibrium under ambiguity
نویسندگان
چکیده
منابع مشابه
A two-person dynamic equilibrium under ambiguity
This paper describes a pure-exchange, continuous-time economy with two heterogeneous agents and complete markets. A novel feature of the economy is that agents perceive some security returns as ambiguous in the sense often attributed to Frank Knight. The equilibrium is described completely in closed-form. After identifying agents as countries, the model is applied to address the consumption hom...
متن کاملEquilibrium Theory under Ambiguity
We extend the classical results on the Walras-core existence and equivalence to an ambiguous asymmetric information economies, i.e., economies where agents maximize Maximin Expected Utility (MEU). The interest of considering ambiguity arises from the fact that, in the presence of MEU decision making, there is no conflict between efficiency and incentive compatibility, (contrary to the Bayesian ...
متن کاملTwo-Person Dynamic Equilibrium in the Capital Market
Wben several investors with different risk aversions trade competitively in a capital market, the allocation of wealth fluctuates randomly among them and acts as a state variable against which each market participant will want to hedge. This hedging motive complicates the investors' portfolio choice and the equilibrium in the capital market. This article features two investors, with the same de...
متن کاملDynamic Choice under Ambiguity
This paper analyzes sophisticated dynamic choice for ambiguity-sensitive decision makers. It characterizes Backward Induction and a single-person version of Subgame Perfection via axioms on preferences over decision trees. Furthermore, it indicates how to elicit conditional preferences from prior preferences. The key axiom is a weakening of Dynamic Consistency, deemed Sophistication. The analys...
متن کاملA Dynamic Game under Ambiguity: Contracting for Delegated Experimentation
Conventional (single-prior) Bayesian games of incomplete information are limited in their ability to capture the extent of informational asymmetry. In particular, they are not capable of representing complete ignorance of an uninformed player about an unknown parameter of the environment. Using a framework of contracting for delegated experimentation, we formulate and analyze a dynamic game of ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2003
ISSN: 0165-1889
DOI: 10.1016/s0165-1889(02)00059-3