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

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