Review of Economic Studies Vol. 78 No. 3 2011
Ambiguity and Rational Expectations Equilibria
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