讲座题目：Equilibria under Knightian Price Uncertainty

　　报告人：Patrick Beissner (Australian National University，Lecturer)

　　报告时间：2018年5月9日(周三)上午 10点

　　报告地点：经管院B226

　　主办单位：数理经济与数理金融系，主持人：林乾

　　摘要:

　　We study economies where agents face Knightian uncertainty about state prices. Knightian uncertainty leads naturally to nonlinear expectations. We introduce a corresponding equilibrium concept with sublinear prices and prove existence. In general, such equilibria lead to Pareto ineffcient allocations; the equilibria coincide with Arrow-Debreu equilibria only if the values of net trades are ambiguity-free in the mean. In economies without aggregate uncertainty, inefficiencies are generic. We introduce a constrained eiency concept, uncertainty-neutral eiency and show that equilibrium allocations under price uncertainty are effcient in this constrained sense. Arrow-Debreu equilibria turn out to be non-robust with respect to the introduction of Knightian uncertainty.

　　简介: Patrick Beissner is a Lecturer at Australian National University. He received his PhD in economics from Bielefeld University. His current research interests are in Mathematical economics and Mathematical finance.