Market Allocations under Ambiguity: A Survey

Antoine Billot, Sujoy Mukerji and Jean-Marc Tallon

PSE-Ecole d'économie de Paris (Postprint) from HAL

Abstract: We review some of the (theoretical) economic implications of David Schmeidler's models of decision under uncertainty (Choquet expected utility and maxmin expected utility) in competitive market settings. We start with the portfolio inertia result of Dow and Werlang (1992), show how it does or does not generalize in an equilibrium setting. We further explore the equilibrium implications (indeterminacies, non revelation of information) of these decision models. A section is then devoted to the studies of Pareto optimal arrangements under these models. We conclude with a discussion of experimental evidence for these models that relate, in particular, to the implications for market behaviour discussed in the preceding sections.

Keywords: Maxmin Expected Utility; No-trade; Risk Sharing; Indeterminacy; Experimental evidence; Choquet Expected Utility; Espérance d'utilité à la Choquet; Minimum d'espérances d'utilité; absence d'échanges; partage du risque; indétermination; expériences (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-exp and nep-upt
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-02495663v1
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Published in Revue Economique, 2020, 71, pp.267-282

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Related works:
Journal Article: Market Allocations under Ambiguity: A Survey (2020)
Working Paper: Market Allocations under Ambiguity: A Survey (2020)
Working Paper: Market Allocations under Ambiguity: A Survey (2020)
Working Paper: Market Allocations under Ambiguity: A Survey (2020)
Working Paper: Market Allocations under Ambiguity: A Survey (2019)
Working Paper: Market Allocations under Ambiguity: A Survey (2019)
Working Paper: Market Allocations under Ambiguity: A Survey (2019)
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