A two-person dynamic equilibrium under ambiguity
A two-person dynamic equilibrium under ambiguity
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DOI：
10.1016/s0165-1889(02)00059-3
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发表时间：
2003-05-01
影响因子：
1.9
通讯作者：
Miao, JJ
中科院分区：
文献类型：
--
作者：
Epstein, LG;Miao, JJ
本文描述了一个纯交换的，连续时间的经济与两个异构的代理商和完全市场。经济的一个新特征是，代理人认为一些证券回报是模糊的，这种模糊的意义通常归因于弗兰克·奈特。平衡完全描述在封闭形式。在确定代理人为国家后，该模型被应用于解决消费母国偏见和公平母国偏见难题。(C)2002 Elsevier Science B.V.保留所有权利。
This paper describes a pure-exchange, continuous-time economy with two heterogeneous agents and complete markets. A novel feature of the economy is that agents perceive some security returns as ambiguous in the sense often attributed to Frank Knight. The equilibrium is described completely in closed-form. After identifying agents as countries, the model is applied to address the consumption home bias and equity home-bias puzzles. (C) 2002 Elsevier Science B.V. All rights reserved.