Efficient Allocations under Ambiguous Model Uncertainty

Chiaki Hara (1) , Sujoy Mukerji (2) , Frank Riedel (3) , Jean-Marc Marc Tallon (4, 5)

1 Kyoto University
2 QMUL - Queen Mary University of London
3 University of Bielefeld
4 PSE - Paris School of Economics
5 PJSE - Paris Jourdan Sciences Economiques

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

Domains: Economics and Finance

Chiaki Hara, Sujoy Mukerji, Frank Riedel, Jean-Marc Marc Tallon. Efficient Allocations under Ambiguous Model Uncertainty. 2022. ⟨halshs-03828305⟩