Ambiguity and Rational Expectations Equilibria

Scott Condie and Jayant Ganguli

The Review of Economic Studies, 2011, vol. 78, issue 3, 821-845

Abstract: This paper demonstrates the existence and robustness of partially revealing rational expectations equilibria in general exchange economies when some traders have non-smooth ambiguity-averse preferences. This finding illustrates that models with non-smooth ambiguity aversion provide a relatively tractable framework through which partial information revelation may be studied in a general equilibrium setting without relying on particular distributional or von Neumann--Morgenstern utility assumptions or the presence of "noise." Copyright 2011, Oxford University Press.

Date: 2011
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Working Paper: Ambiguity and rational expectations equilibria (2008)
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