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Informational efficiency with ambiguous information

Condie, Scott and Ganguli, Jayant V (2011) 'Informational efficiency with ambiguous information.' Economic Theory, 48 (2-3). pp. 229-242. ISSN 0938-2259

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This paper proves the existence of fully revealing rational expectations equilibria for almost all sets of beliefs when investors are ambiguity averse and have preferences that are characterized by Choquet expected utility with a convex capacity. The result implies that strong-form efficient equilibrium prices exist even when many investors in the market make use of information in a way that is substantially different from traditional models of financial markets. © 2011 Springer-Verlag.

Item Type: Article
Uncontrolled Keywords: Efficient markets; Ambiguity; Rational expectations equilibrium
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Economics, Department of
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 14 Feb 2013 13:20
Last Modified: 15 Jan 2022 00:44

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