Market Allocations under Ambiguity: A Survey

Antoine Billot, Sujoy Mukerji and Jean-Marc Tallon

Revue économique, 2020, vol. 71, issue 2, 267-282

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] and 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. 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. JEL Codes: D81.

Keywords: choquet expected utility; maxmin expected utility; no-trade; risk sharing; indeterminacy; experimental evidence (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2020
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Related works:
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 (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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