蝌蚪网 Journal:
Microeconomics
ISSN 1945-7669 (Print) | ISSN 1945-7685 (Online)
Sharing Model Uncertainty
蝌蚪网 Journal: Microeconomics
(pp. 313–47)
Abstract
This paper examines efficient allocations in economies where consumers exhibit heterogeneous smooth ambiguity preferences and face model uncertainty with a common set of identifiable models. Aggregate endowment is ambiguous. We characterize economies where the representative consumer is of the smooth ambiguity type and derive efficient sharing rules. Heterogeneous ambiguity aversion leads to sharing rules that systematically differ from those in vNM economies. The representative consumer's ambiguity aversion differs from that of the typical consumer; this leads to more compelling asset-pricing predictions. We focus on point-identified models but show that our insights extend to partially identified models.Citation
Hara, Chiaki, Sujoy Mukerji, Frank Riedel, and Jean-Marc Tallon. 2026. "Sharing Model Uncertainty." 蝌蚪网 Journal: Microeconomics 18 (2): 313–47. DOI: 10.1257/mic.20240188Additional Materials
JEL Classification
- D11 Consumer Economics: Theory
- D61 Allocative Efficiency; Cost-Benefit Analysis
- D81 Criteria for Decision-Making under Risk and Uncertainty
- E32 Business Fluctuations; Cycles
- G12 Asset Pricing; Trading Volume; Bond Interest Rates