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- W3123633482 abstract "This paper describes a pure-exchange, continuous-time economy with two heterogeneous agents and complete markets. A novel feature of the economy is that agents perceive some security returns as ambiguous in the sense often attributed to frank Knight. The equilibrium is described completely in closed-form. In particular, closed-form solutions are obtained for the equilibrium processes describing individual consumption, the interest rate, the market price of uncertainty, security prices and trading strategies. After identifying agents as countries, the model is applied to address the consumption home-bias puzzles." @default.
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- W3123633482 date "2001-01-01" @default.
- W3123633482 modified "2023-09-27" @default.
- W3123633482 title "A Two-Person Dynamic Equilibrium under Ambiguity" @default.
- W3123633482 hasPublicationYear "2001" @default.
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