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Asset pricing in a Lucas ‘fruit-tree’ economy with non-additive beliefs

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  • Alexander Zimper

Abstract

We study a Lucas (1978) “fruit-tree” economy under the assumption that agents are Choquet expected utility (CEU) rather than standard expected utility (EU) decision makers. The agents’ nonadditive beliefs about the economy’s stochastic dividend payment process may thus express ambiguity attitudes and accommodate violations of Savage’s sure-thing principle as elicited by Ellsberg (1961). As our […]

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  • Alexander Zimper, 2008. "Asset pricing in a Lucas ‘fruit-tree’ economy with non-additive beliefs," Working Papers 092, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:092
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    References listed on IDEAS

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    More about this item

    Keywords

    Bayesian analysis; capital market; economic theory; Public Utility;
    All these keywords.

    JEL classification:

    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making

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