Suchergebnisse

If information is too vague and imprecise to be summarized by a unique additive probability measure, an agent faces Knightian uncertainty or ambiguity rather than risk. Under Knightian uncertainty, an agent's beliefs may be represented by a capacity or a set of additive probabilities. It is proved that an agent's attitude towards ambiguity has a crucial role in asset price determination and portfolio choice. Knightian uncertainty attitude provides an alternative explanation of financial market failures and enables puzzles to be solved, such as market breakdowns, price indeterminacy and volatility, bid and ask spreads, portfolio inertia, violation of call and put parity.(J.E.L.: D81, G11, G12).

Nous montrons que avec préférences à la Bewley, l'axiome qui caractérise habituellement l'indépendance stochastique ne suffit pas à identifier de manière unique un modèle de croyances indépendantes. Nous introduisons donc le concept de équivalent produit d'un acte et montrons que cela nous permet d'obtenir une caractérisation unique de l'indépendance stochastique pour les modèles d'espérance d'utilité de Bewley et de croyances multiples.

AbstractIn this paper, we develop a simple two-period model of natural capital investment under Knightian uncertainty and analyze the effects of changes in the degree of ambiguity on the optimal natural capital investment. We find that the degree of Knightian uncertainty affects a government's natural capital investment. Moreover, we find that the direction of the effect of the Knightian uncertainty depends on the nature of uncertainty, that is, on whether the uncertainty is about the future level of natural capital or about the return from saving.