Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210454
Authors: 
Billot, Antoine
Mukerji, Sujoy
Tallon, Jean-Marc
Year of Publication: 
2019
Series/Report no.: 
Working Paper 897
Abstract: 
We review some of the (theoretical) economic implications of David Schmeidler's models of decision under uncertainty (Choquet expected utility and maxmin expected utility) in competitive market settings. We start with the portfolio inertia result of Dow and Werlang (1992), show how it does or does not generalize in an equilibrium setting. We further explore the equilibrium implications (indeterminacies, non revelation of information) of these decision models. A section is then devoted to the studies of Pareto optimal arrangements under these models. We conclude with a discussion of experimental evidence for these models that relate, in particular, to the implications for market behaviour discussed in the preceding sections.
Subjects: 
Choquet Expected Utility
Maxmin Expected Utility
No-trade
Risk Sharing
Indeterminacy
Experimental evidence
JEL: 
D81
Document Type: 
Working Paper

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