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Pré-publication, Document de travail (Working Paper) Année : 2024

Sharing Model Uncertainty

Résumé

We study efficient allocations when consumers have heterogeneous smooth ambiguity preferences, face model uncertainty, and consider a common set of identifiable models. Aggregate endowment is ambigu- ous. We characterize economies where the representative consumer is of the smooth ambiguity type and find efficient sharing rules. With heterogeneous ambiguity aversion, sharing rules exhibit systematic de- partures from those in vNM-economies and the representative consumer’s nature departs from the typical single-consumer assumption, making for more compelling asset-pricing predictions. We focus on the case where models are point-identified but show that the insights extend when models are only partially-identified.
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Dates et versions

halshs-04598577, version 1 (03-06-2024)

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  • HAL Id : halshs-04598577 , version 1

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Chiaki Hara, Sujoy Mukerji, Frank Riedel, Jean-Marc Tallon. Sharing Model Uncertainty. 2024. ⟨halshs-04598577⟩
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Dernière date de mise à jour le 26/06/2024
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