Journal article
Ambiguity averse aggregation under heterogeneous beliefs
- Abstract:
- If a complete-markets economy is composed of expected utility maximizers with heterogeneous beliefs and logarithmic utility, then it may be well represented via a single expected utility-maximizing agent with a “consensus belief”. For more general preferences, an “aggregation bias” necessitates alteration of the economy’s fundamentals if such a representation is to be constructed. But no such aggregation bias arises if the representative agent is allowed to be ambiguity averse, in the sense that he maximizes his Choquet expected utility under a convex “consensus capacity”. The economy thus becomes ambiguity averse in the aggregate as a consequence of heterogeneity in beliefs. Journal of Economic Literature Classification: D46, D59, D81, G12.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Preview, Version of record, pdf, 579.9KB, Terms of use)
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- Publisher copy:
- 10.1007/s40505-025-00304-1
Authors
- Publisher:
- Springer
- Journal:
- Economic Theory Bulletin More from this journal
- Volume:
- 14
- Issue:
- 1
- Article number:
- 1
- Publication date:
- 2025-12-18
- Acceptance date:
- 2025-11-08
- DOI:
- EISSN:
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2196-1093
- ISSN:
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2196-1085
- Language:
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English
- Keywords:
- Pubs id:
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2341893
- Local pid:
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pubs:2341893
- Deposit date:
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2025-12-02
- ARK identifier:
Terms of use
- Copyright holder:
- Thomas W. L. Norman
- Copyright date:
- 2025
- Rights statement:
- © The Author(s) 2025. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.
- Licence:
- CC Attribution (CC BY)
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