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Review of Economic Studies Vol. 78 No. 3 2011

Ambiguity and Rational Expectations Equilibria

S. Condie1; J. V. Ganguli2

1 Brigham Young University · 2 University of Cambridge

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.”

DOI
10.1093/restud/rdq032
Volume
78
Issue
3
Pages
821-845
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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