Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/97225
Authors: 
Beißner, Patrick
Year of Publication: 
2013
Series/Report no.: 
Working Papers, Center for Mathematical Economics 493
Abstract: 
The present paper considers a class of general equilibrium economics when the primitive uncertainty model features uncertainty about continuous-time volatility. This requires a set of mutually singular priors, which do not share the same null sets. For this setting we introduce an appropriate commodity space and the dual of linear and continuous price systems. All agents in the economy are heterogeneous in their preference for uncertainty. Each utility functional is a variational type. The existence of equilibrium is approached by a generalized excess utility fixed point argument. Such Arrow-Debreu allocations can be implemented into a Radner economy with continuous-time trading. Effective completeness of the market spaces alters to an endogenous property. Only mean unambiguous claims equivalently satisfying the classical martingale representation property build the marketed space.
Subjects: 
Knightian uncertainty
variational preferences
general equilibrium
mutually singular priors
dynamic consistency
volatility uncertainty
excess utility map
gross substitutes
risk adjusted priors
sublinear-expectation
Radner implementation
incomplete markets
JEL: 
G10
D50
C62
Document Type: 
Working Paper

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