Intertemporal equilibria with Knightian uncertainty
نویسندگان
چکیده
منابع مشابه
Intertemporal equilibria with Knightian uncertainty
We study a dynamic and infinite–dimensional model with Knightian uncertainty modeled by incomplete multiple prior preferences. In interior efficient allocations, agents share a common risk–adjusted prior and use the same subjective interest rate. Interior efficient allocations and equilibria coincide with those of economies with subjective expected utility and priors from the agents’ multiple p...
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Suppose that "uncertainty" about labor market conditions has increased. Does this change induce an unemployed worker to search longer, or shorter? This paper shows that the answer is drastically different depending on whether an increase in "uncertainty" is an increase in risk or that in true uncertainty in the sense of Frank Knight. We show in a general framework that, while an increase in ris...
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This paper studies decentralized economies in which decision-makers do not have full knowledge of the probabilities of the states of nature. This ambiguity is referred to as Knightian uncertainty. Using a general equilibrium heterogeneous-agent model, we show how prices and consumption allocations are altered by the presence of Knightian uncertainty. It is known from previous work that models w...
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The predictability of stock and bond excess returns is investigated from an investment perspective in the presence of Knightian uncertainty. Uncertainty about the return distribution is formalized with the maxmin expected utility approach of Gilboa and Schmeidler (1989). It is analyzed how risk and uncertainty aversion di¤er in their e¤ects on optimal portfolio choice. Most importantly, it is s...
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When firms make a decision about irreversible investment, they may not have complete confidence about their perceived probabilitymeasure describing future uncertainty. Theymay think other probabilitymeasures perturbed from the original one are also possible. Such uncertainty, characterized by not a single probability measure but a set of probability measures, is called “Knightian uncertainty.” ...
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ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 2013
ISSN: 0022-0531
DOI: 10.1016/j.jet.2013.04.005