Knightian uncertainty leads naturally to nonlinear expectations.

We introduce a corresponding equilibrium concept with sublinear

prices and establish their existence. In general, such equilibria lead

to Pareto inefficiency and coincide with Arrow-Debreu equilibria only

if the values of net trades are ambiguity-free in the mean. Without

aggregate uncertainty, inefficiencies arise generically. We introduce

a constrained efficiency concept, uncertainty-neutral efficiency and

show that Knight-Walras equilibrium allocations are efficient in this

constrained sense. Arrow-Debreu equilibria turn out to be non-robust

with respect to the introduction of Knightian uncertainty.