Decision making and financial markets under risk and ambiguity

本文研究了信息不对称和模糊性条件下的金融市场。我们考虑两种模式。一个是一般均衡模型。导出了投机交易的充分必要条件。此外，还研究了风险溢价和模糊性溢价对资产价格的不同作用。另一个模型是模糊性条件下的全球金融危机博弈模型。研究了模糊性与危机概率之间的关系。此外，我们对我们的理论预测进行了实证检验。

We study financial markets under ambiguity and asymmetric information. We consider two models. One model is a general equilibrium model. A necessary and sufficient condition for speculative trade is derived. In addition, different roles of the risk premium and the ambiguity premium on asset prices are studied. The other model is a global game model of financial crises under ambiguity. The relationship between ambiguity and the probability of crises is investigated. Furthermore, we empirically test our theoretical prediction.