The present paper considers a class of general equilibrium economies when the primitive uncertainty model features uncertainty about continuous-time volatility. This requires a set of mutually singular priors, which do not share the same null sets. For this setting we introduce an appropriate commodity space and the dual of linear and continuous price systems. All agents in the economy are hete...

To overcome a market of ‘lemons’, online auction marketplaces must be able to differentiate among products and generate price premiums for high-quality ones. Still, the literature has only focused on seller quality uncertainty (seller reputation), alas ignoring the role of product quality uncertainty, which is defined as the degree by which the outcome of the transaction cannot be accurately pr...

This paper studies asset markets where Knightian uncertainty about the fundamentals can be mitigated through costly information acquisition. In these markets, investors' information choices can be strategic complements, resulting in multiple equilibria, history-dependent prices, and large price swings occurring after small changes in uncertainty. Our model predicts the typical market response t...

In this paper we examine implications of model uncertainty due to robustness (RB) for consumption and saving and the market price of uncertainty under limited information-processing capacity (rational inattention or RI). We first solve the robust permanent income models with inattentive consumers and show that RI by itself creates an additional demand for robustness that leads to higher “induce...

We analyze a model of irreversible investment with two sources of uncertainty. A riskneutral decision maker has the choice between two mutually exclusive projects under input price and output price uncertainty. We propose a complete study of the shape of the rational investment region and we prove that it is never optimal to invest when the alternative investments generate the same payoff indep...

Mining companies world-wide are faced with the problem of how to accurately value and plan extraction projects subject to uncertainty in both future price and ore grade. Whilst the methodology of modelling price uncertainty is reasonably well understood, modelling ore-grade uncertainty is a much harder problem to formulate, and when attempts have been made the solutions take unfeasibly long tim...

Bucket pricing entails a prepaid price and a maximum consumption limit, which requires consumers to make advance purchase decisions before their consumption needs are fully revealed. We propose a dynamic model that involves how consumers form expectations of future consumption needs, learn to reduce uncertainty through experience, and make optimal advance purchase decisions. Applying the model ...

Abstract – Distributed generation (DG) technology is known as an efficient solution for applying in distribution system planning (DSP) problems. Load growth uncertainty associated with distribution network is a significant source of uncertainty which highly affects optimal management of DGs. In order to handle this problem, a novel model is proposed in this paper based on DG solution, consideri...

This paper studies asset markets in which ambiguity averse investors face Knightian uncertainty about expected payo s. The same investors, however, might wish to resolve their uncertainty, although not risk, by just purchasing information. In these markets, uninformed and, hence, ambiguity averse, agents may coexist with informed agents, as a result of a rational information acquisition process...

date is as one of the important items of the agricultural production in iran as iran's share of global production was 14.1% in 2012 and rank of production increased to second in the world too. in recent years, price uncertainty in date market has increased due to changes in government policies on date prices pattern, from a guaranteed buying pattern to negotiated price pattern. according to the...