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General equilibrium, risk taking and volatility

Author

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  • Araujo A.
  • Chateauneuf A.
  • Gama-Torres J.
  • Novinski R.

Abstract

Although it is a phenomenon that is routinely observed in financial markets, the interaction between ambiguity averse and ambiguity lovers was not yet analyzed extensively in the literature of general equilibrium, mainly due to technical issues. In this p

Suggested Citation

  • Araujo A. & Chateauneuf A. & Gama-Torres J. & Novinski R., 2014. "General equilibrium, risk taking and volatility," Working Papers 2014-181, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-181
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    File URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_181.pdf
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    References listed on IDEAS

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    1. Chateauneuf, Alain & Dana, Rose-Anne & Tallon, Jean-Marc, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," Journal of Mathematical Economics, Elsevier, vol. 34(2), pages 191-214, October.
    2. Strzalecki, Tomasz & Werner, Jan, 2011. "Efficient allocations under ambiguity," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1173-1194, May.
    3. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
    4. Anderson, Robert M, 1985. "Strong Core Theorems with Nonconvex Preferences," Econometrica, Econometric Society, vol. 53(6), pages 1283-1294, November.
    5. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2005. "A Smooth Model of Decision Making under Ambiguity," Econometrica, Econometric Society, vol. 73(6), pages 1849-1892, November.
    6. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Econometrica, Econometric Society, vol. 74(6), pages 1447-1498, November.
    7. Chateauneuf, Alain & Dana, Rose-Anne & Tallon, Jean-Marc, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," Journal of Mathematical Economics, Elsevier, vol. 34(2), pages 191-214, October.
    8. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
    9. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56(4), pages 279-279.
    10. repec:dau:papers:123456789/5461 is not listed on IDEAS
    11. Luca Rigotti & Chris Shannon & Tomasz Strzalecki, 2008. "Subjective Beliefs and ex ante Trade," Econometrica, Econometric Society, vol. 76(5), pages 1167-1190, September.
    12. Tsanakas, Andreas & Christofides, Nicos, 2006. "Risk Exchange with Distorted Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 36(1), pages 219-243, May.
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    1. repec:ipg:wpaper:2014-576 is not listed on IDEAS
    2. repec:ipg:wpaper:2014-574 is not listed on IDEAS
    3. Ghirardato, Paolo & Siniscalchi, Marciano, 2018. "Risk sharing in the small and in the large," Journal of Economic Theory, Elsevier, vol. 175(C), pages 730-765.
    4. repec:ipg:wpaper:2014-458 is not listed on IDEAS
    5. Marko Volker Krause, 2018. "Effects of a capital gains tax on asset pricing," Business Research, Springer;German Academic Association for Business Research, vol. 11(1), pages 115-148, February.

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