Equilibrium prices and trade under ambiguous volatility
Equilibrium prices and trade under ambiguous volatility
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DOI：
10.1007/s00199-016-0979-y
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发表时间：
2017-08
期刊：
影响因子：
1.3
通讯作者：
Patrick Beissner
中科院分区：
文献类型：
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作者：
Patrick Beissner
本文考虑一般均衡经济与一个原始的不确定性模型，其特点是模糊的连续时间波动。对于由此产生的不等价的先验，一个适当的商品价格空间被引入。代理人在捕获的模糊性的大小、对风险和模糊性的禀赋和偏好方面是异质的。偏好属于变分类型，参见Maccheroni et al.（Econometrica 74（6）：1447-1498，2006）。一个重要的含义涉及线性均衡价格系统的一个问题。正收益是免费的事件以外的领域代表均衡定价措施。此外，当总风险存在和总的模糊性是不存在的，最优配置的保险属性取决于模糊自由支付的概念。
This article considers general equilibrium economies with a primitive uncertainty model that features ambiguity about continuous-time volatility. For the resulting non-equivalence of priors, an appropriate commodity-price space is introduced. Agents are heterogeneous in the size of captured ambiguity, endowment and preference for risk and ambiguity. Preferences are of variational type à la Maccheroni et al. (Econometrica 74(6):1447–1498, 2006). One important implication involves a problematic aspect of linear equilibrium price systems. Positive payoffs are for free on events outside the domain of the representing equilibrium pricing measure. Moreover, when aggregate risk is present and aggregate ambiguity is absent, the insurance properties of optimal allocations depend on the notion of ambiguity-free payoffs.