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Efficient Allocations under Ambiguous Model Uncertainty

Author

Listed:
  • Chiaki Hara

    (Kyoto University)

  • Sujoy Mukerji

    (QMUL - Queen Mary University of London)

  • Frank Riedel

    (University of Bielefeld)

  • Jean-Marc Tallon

    (PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

Abstract

We investigate consequences of ambiguity on efficient allocations in an exchange economy. Ambiguity is embodied in the model uncertainty perceived by the consumers: they are unsure what would be the appropriate probability measure to apply to evaluate consumption and keep in consideration a set P of alternative probabilistic laws. Consumers are heterogeneously ambiguity averse with smooth

Suggested Citation

  • Chiaki Hara & Sujoy Mukerji & Frank Riedel & Jean-Marc Tallon, 2022. "Efficient Allocations under Ambiguous Model Uncertainty," PSE Working Papers halshs-03828305, HAL.
    • Handle: RePEc:hal:psewpa:halshs-03828305
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-03828305
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    References listed on IDEAS

    as
    1. Karlin, Samuel & Rinott, Yosef, 1980. "Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions," Journal of Multivariate Analysis, Elsevier, vol. 10(4), pages 467-498, December.
    2. Mas-Colell,Andreu, 1990. "The Theory of General Economic Equilibrium," Cambridge Books, Cambridge University Press, number 9780521388702.
    3. Karlin, Samuel & Rinott, Yosef, 1980. "Classes of orderings of measures and related correlation inequalities II. Multivariate reverse rule distributions," Journal of Multivariate Analysis, Elsevier, vol. 10(4), pages 499-516, December.
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    Cited by:

    1. Sujoy Mukerji & Han N. Ozsoylev & Jean‐Marc Tallon, 2023. "Trading Ambiguity: A Tale Of Two Heterogeneities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1127-1164, August.
    2. Sun, Yuzhe & Wang, Yanjie & Zhang, Shunming & Huang, Helen, 2023. "The impact of ambiguity-loving attitude on market participation and asset pricing," Economic Modelling, Elsevier, vol. 128(C).

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