Equilibria Under Knightian Price Uncertainty
研究了状态价格存在奈特不确定性时的经济均衡，提出了次线性价格下的均衡概念，并证明其在弱条件下存在，通常导致无效率配置，仅在净交易价值均值无歧义时与阿罗-德布鲁均衡一致。
We study economies with Knightian uncertainty about state prices. We introduce an equilibrium concept with sublinear prices and prove that equilibria exist under weak conditions. In general, such equilibria lead to inefficient allocations; they coincide with Arrow–Debreu equilibria if and only if the values of net trades are ambiguity‐free in mean. In economies without aggregate uncertainty, inefficiencies are generic. Equilibrium allocations under price uncertainty are efficient in a constrained sense that we call uncertainty–neutral efficient. Arrow–Debreu equilibria turn out to be non‐robust with respect to the introduction of Knightian uncertainty.