Equilibria under Knightian Price Uncertainty


 ¡¡  Topic£ºEquilibria under Knightian Price Uncertainty

¡¡¡¡Speaker£ºPatrick Beissner (Australian National University£¬Lecturer)

¡¡¡¡Time£º10am, May 9,2018



¡¡¡¡Abstract:we study economies where 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 existence. In general, such equilibria lead to Pareto ineffcient 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 eiency concept, uncertainty-neutral eiency and show that equilibrium allocations under price uncertainty are effcient in this constrained sense. Arrow-Debreu equilibria turn out to be non-robust with respect to the introduction of Knightian uncertainty.

¡¡¡¡Introdution to the speaker: Patrick Beissner is a Lecturer at Australian National University. He received his PhD in economics from Bielefeld University. His current research interests are in Mathematical economics and Mathematical finance