A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility
From MaRDI portal
Publication:2174171
DOI10.1007/s10436-019-00349-wzbMath1433.91088OpenAlexW2963540149MaRDI QIDQ2174171
Marialaura Pesce, Nicholas C. Yannelis, Luciano I. de Castro
Publication date: 20 April 2020
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-019-00349-w
Related Items (6)
Coalitions with limited coordination ⋮ Incentive compatibility under ambiguity ⋮ Mixed strategy implementation under ambiguity ⋮ Randomization under ambiguity: efficiency and incentive compatibility ⋮ On the equivalence of rational expectations equilibrium with perfect Bayesian equilibrium ⋮ Persuasion in an asymmetric information economy: a justification of Wald's maxmin preferences
Cites Work
- Unnamed Item
- Implementation of maximin rational expectations equilibrium
- Existence, incentive compatibility and efficiency of the rational expectations equilibrium
- The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
- Portfolio management with stochastic interest rates and inflation ambiguity
- Endogenous differential information
- Ambiguous implementation: the partition model
- Informational efficiency with ambiguous information
- Core and equilibria under ambiguity
- Robust portfolio optimization with a generalized expected utility model under ambiguity
- Equilibrium theory under ambiguity
- Subjective expectations equilibrium in economies with uncertain delivery
- Equilibrium theory with asymmetric information and with infinitely many commodities
- Some new characterization of rational expectation equilibria in economies with asymmetric information
- Bayesian-Walrasian equilibria: Beyond the rational expectations equilibrium
- Large economies with differential information and without free disposal
- Prudent expectations equilibrium in economies with uncertain delivery
- Maxmin expected utility with non-unique prior
- Do sunspots matter when agents are Choquet-expected-utility maximizers?
- A note on 'fulfilled expectations' equilibria
- The core of an economy with differential information
- Incentive compatibility and information superiority of the core of an economy with differential information
- Asset markets and the information revealed by prices
- Efficiency and incentive compatibility in differential information economies
- Rational expectations equilibria and the ex-post core of an economy with asymmetric information.
- Uncertainty, efficiency and incentive compatibility: ambiguity solves the conflict between efficiency and incentive compatibility
- General equilibrium in economies with uncertain delivery
- On the core of an economy with differential information
- Differentiating ambiguity and ambiguity attitude
- Incomplete markets, allocative efficiency, and the information revealed by prices
- Dynamic portfolio selection with mispricing and model ambiguity
- Ambiguity sensitive preferences in Ellsberg frameworks
- Aggregate preferred correspondence and the existence of a maximin REE
- Value allocation under ambiguity
- Irrelevance of private information in two-period economies with more goods than states of nature
- Dynamic variational preferences
- Non-implementation of rational expectations as a perfect Bayesian equilibrium
- Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
- Generic Existence of Completely Revealing Equilibria for Economies with Uncertainty when Prices Convey Information
- An Introduction to the Theory of Rational Expectations Under Asymmetric Information
- The Non-Existence of Informational Equilibria
- The Value Allocation of an Economy with Differential Information
- Ambiguity and Rational Expectations Equilibria
- A Smooth Model of Decision Making under Ambiguity
- Robustness
- Competitive Equilibrium Under Uncertainty
This page was built for publication: A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility
