Econometrica · 2018 · Aloisio Pessoa de Araujo、Alain Chateauneuf、Juan Pablo Gama、Rodrigo Novinski
中文摘要
越来越多的经济学家正在发现远远超出古典经济学范畴的经济行为的经验证据与实验证据。特别是,经验证据(Jullien and Salanié (2000))与实验证据(Kahneman and Tversky (1979))支持了风险爱好、模糊爱好及相关行为在经济学中的重要性。然而,由于偏好的非凸性给证明均衡的存在性带来了困难,有限个体的一般均衡文献尚未对这类偏好进行分析。本文的主要结果给出了一组条件,在这些条件下此类经济中均衡存在。我们表明,总财富的不确定性,以及经济中风险厌恶者禀赋的某种占优,对 Arrow–Debreu 均衡的存在性发挥着作用。该结果可以扩展到 CEU(Choquet 期望效用)、平滑模糊(Smooth Ambiguity)与变分偏好(Variational Preference)意义下的模糊性。
Abstract
More and more economists are finding both empirical and experimental evidence of economic behavior that is well beyond classical economics. In particular, empirical evidence ( Jullien and Salanié (2000)) and experimental evidence ( Kahneman and Tversky (1979)) supported the importance of risk loving, ambiguity loving, and related behavior in economics. However, these types of preferences have not been analyzed in the general equilibrium literature with a finite number of agents because non-convexity of preferences creates difficulty in proving existence of equilibrium. The main result in this paper provides a set of conditions under which equilibrium exists in such economies. We show that uncertainty of aggregate wealth, as well as some dominance of the endowment of the risk averters in the economy, play a role in the existence of Arrow–Debreu equilibria. This result can be extended to ambiguity in the sense of CEU, Smooth Ambiguity, and Variational Preference.