Sharing risk and ambiguity

Luca Rigotti and Chris Shannon

Journal of Economic Theory, 2012, vol. 147, issue 5, 2028-2039

Abstract: We study the market implications of ambiguity in common models. We show that generic determinacy is a robust feature in general equilibrium models that allow a distinction between ambiguity and risk.

Keywords: Ambiguity; General equilibrium theory; Financial markets; Determinacy of equilibria; Variational preferences; Multiple priors (search for similar items in EconPapers)
JEL-codes: D0 D5 D8 G1 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:147:y:2012:i:5:p:2028-2039

DOI: 10.1016/j.jet.2012.05.009

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