TY  - GEN
AB  - The present paper considers a class of general equilibrium economies when
the primitive uncertainty model features uncertainty about continuous-time
volatility. This requires a set of mutually singular priors, which do not share
the same null sets. For this setting we introduce an appropriate commodity
space and the dual of linear and continuous price systems.
All agents in the economy are heterogeneous in their preference for uncer-
tainty. Each utility functional is of variational type. The existence of equi-
librium is approached by a generalized excess utility fixed point argument.
Such Arrow-Debreu allocations can be implemented into a Radner economy
with continuous-time trading. Effective completeness of the market spaces al-
ters to an endogenous property. Only mean unambiguous claims equivalently
satisfying the classical martingale representation property build the marketed
space.
DA  - 2013
KW  - Knightian uncertainty
KW  - variational preferences
KW  - general equilibrium
KW  - mu- tually singular priors
KW  - dynamic consistency
KW  - volatility uncertainty
KW  - excess utility map
KW  - gross substi- tutes
KW  - risk adjusted priors
KW  - sublinear-expectation
KW  - Radner implementation
KW  - incomplete markets
LA  - eng
PY  - 2013
SN  - 0931-6558
SP  - 48-
TI  - Radner Equilibria under Ambiguous Volatility
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29014636
Y2  - 2024-11-22T05:39:04
ER  -