Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/81102
Authors: 
Chudjakow, Tatjana
Year of Publication: 
2011
Series/Report no.: 
Working Papers, Institute of Mathematical Economics 444
Abstract: 
We analyze a static partial equilibrium model where the agents are not only heterogeneous in their beliefs about the return on risky assets but also in their attitude to it. While some agents in the economy are subjective utility maximizers others behave ambiguity averse in the sense of Knight (1921). If ambiguity averse agents meet overly optimistic subjective utility maximizers in the market lower equity premia can arise in the equilibrium than in a purely subjective utility framework.
Subjects: 
Ambiguity
Partial Equilibrium
Heterogeneous Agents
No-Trade Interval
Document Type: 
Working Paper

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