Survival with ambiguity

  title={Survival with ambiguity},
  author={Ani Guerdjikova and Emanuela Sciubba},
  journal={J. Economic Theory},
We analyze a market populated by expected utility maximizers and smooth ambiguity-averse consumers. We study conditions under which ambiguity-averse consumers survive and affect prices in the limit. If ambiguity vanishes with time or if the economy exhibits no aggregate risk, ambiguity-averse consumers survive, but have no long-run impact on prices. In both scenarios, ambiguity-averse consumers are fully insured against ambiguity in equilibrium and, thus, behave as expected utility maximizers… CONTINUE READING
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A Recursive Model of Smooth Ambiguity Aversion

  • P. Klibanoff, M. Marinacci, S. Mukherji
  • Journal of Economic Theory
  • 2009

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