TY  - GEN
AB  - We study economies in which agents face Knightian uncertainty
about state prices. Knightian uncertainty leads naturally to nonlinear
expectations. We introduce a corresponding equilibrium concept
with sublinear prices and prove that equilibria exist under weak conditions.
In general, such equilibria lead to Pareto inefficient allocations;
the equilibria coincide with Arrow-Debreu equilibria only if the
values of net trades are ambiguity-free in the mean. In economies
without aggregate uncertainty, inefficiencies are generic. We introduce
a constrained efficiency concept, uncertainty-neutral efficiency;
equilibrium allocations under price uncertainty are efficient in this constrained
sense. Arrow-Debreu equilibria turn out to be non-robust
with respect to the introduction of Knightian uncertainty.
DA  - 2018
LA  - eng
PY  - 2018
SN  - 0931-6558
SP  - 28-
TI  - Equilibria under Knightian Price Uncertainty
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29304435
Y2  - 2024-11-22T13:49:34
ER  -