The incentive to trade under ambiguity aversion
نویسندگان
چکیده
منابع مشابه
Decreasing aversion under ambiguity
Under which condition does the set of desirable uncertain prospects expand when wealth increases? We show that the decreasing concavity (DC) of the utility function is necessary and sufficient in the −maxmin expected utility model. In the smooth ambiguity aversion model with the ambiguity valuation function , the DC of and of ◦ is necessary and sufficient. An alternative definition of d...
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The conflict between Pareto optimality and incentive compatibility, that is, the fact that some Pareto optimal (efficient) allocations are not incentive compatible is a fundamental fact in information economics, mechanism design and general equilibrium with asymmetric information. This important result was obtained assuming that the individuals are expected utility maximizers. Although this ass...
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ژورنال
عنوان ژورنال: The Journal of Economic Asymmetries
سال: 2015
ISSN: 1703-4949
DOI: 10.1016/j.jeca.2015.09.001