Informational efficiency with ambiguous information∗
نویسندگان
چکیده
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. 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.
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