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Ambiguity and Rational Expectations Equilibria

Review of Economic Studies 2011 78(3), 821-845
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.”