We investigate consequences of model uncertainty on ex ante efficient allocations in an exchange economy. The ambiguity we consider is embodied in the model uncertainty perceived by the decision maker: they are unsure what would be the appropriate probability measure to apply to evaluate contingent consumption contingent plans and keep in consideration a set of alternative probabilistic laws. We study the case where the typical consumer in the economy is ambiguity-averse with smooth ambiguity preferences and the set of priors is point identified, i.e., the true law can be recovered empirically from observed events. Differently from the literature, we allow for the case where the aggregate risk is ambiguous and agents are heterogeneously ambiguity averse. Our analysis addresses, in particular, the full range of set-ups where under expected utility the Pareto efficient consumption sharing rule is a linear function of the aggregate endowment. We identify systematic differences ambiguity aversion introduces to optimal sharing arrangements in these environments and also characterize the representative consumer. Furthermore, we investigate the implications for the state-price function, in particular, the effect of heterogeneity in ambiguity aversion.

11月24日
4:00pm - 5:00pm
地点
https://hkust.zoom.us/j/92825391869 (Passcode: 1124)
讲者/表演者
Prof. Frank Riedel
Bielefeld University
主办单位
Department of Mathematics
联系方法
付款详情
对象
Alumni, Faculty and staff, PG students, UG students
语言
英语
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研讨会, 演讲, 讲座
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