Informational efficiency with ambiguous information |
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Authors: | Scott Condie Jayant V Ganguli |
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Institution: | 1. Department of Economics, Brigham Young University, Provo, USA 2. Faculty of Economics, University of Cambridge, Cambridge, UK
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Abstract: | 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. |
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