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Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Center for Mathematical Economics Working Papers No. 702
Verlag: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
Heterogeneous beliefs among market participants can lead to questionable speculative trading that goes beyond any risk-sharing motives. We demonstrate that such unwarranted betting behavior in market equilibrium can be mitigated by introducing nonlinear pricing for ambiguous contracts, without compromising legitimate risk-hedging activities. While Arrow-Debreu equilibria generally fail to achieve belief-neutral efficiency, we establish a modified version of the first welfare theorem in which equilibria with nonlinear prices uphold belief-neutral efficiency. Moreover, we show that belief-neutral efficiency can be ensured by introducing suitable transaction costs for ambiguous financial assets.
Schlagwörter: 
Belief-Neutral Pareto efficiency
Heterogeneous Beliefs
Knightian Uncertainty
Ambiguity
General Equilibrium
JEL: 
D81
C61
G11
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Dokumentart: 
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