Please use this identifier to cite or link to this item:
https://repositorio.insper.edu.br/handle/11224/4018
Type: | Artigo Científico |
Title: | Ambiguity aversion in the long run: “To disagree, we must also agree” |
Author: | Araujo, Aloisio Silva, Pietro da Faro, José Heleno |
Publication Date: | 2016 |
Abstract: | We consider an economy populated by smooth ambiguity-averse agents with complete markets of securities contingent to economic scenarios, where bankruptcy is permitted but there is a penalty for it. We show that if agents' posterior belief reductions given by their “average probabilistic beliefs” do not become homogeneous then an equilibrium does not exist. It is worth noting that our main result does not imply any convergence of ambiguity perception or even the attitudes towards it. In this way, complete markets with default and punishment allow for ambiguity aversion in the long run, and the agents can disagree on their ambiguity perception but they must agree on their expected beliefs. |
Keywords (english terms): | Ambiguity aversion Bankruptcy Complete markets Convergence of beliefs Punishments Smooth ambiguity model |
Language: | Inglês |
CNPq Area: | Ciências Sociais Aplicadas |
URI: | https://linkinghub.elsevier.com/retrieve/pii/S0022053116300199 |
Copyright: | O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR |
Appears in Collections: | Coleção de Artigos Científicos |
Files in This Item:
File | Description | Size | Format | |
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R_Artigo_2016_Ambiguity aversion in the long run.pdf | R_Artigo_2016_Ambiguity aversion in the long run | 315.91 kB | Adobe PDF | View/Open |
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