In this paper a Radner economy is considered with Uncertainty, modeled by means of the Choquet Expected Utility. Agents are splitted into two categories: optimists, who hold a concave capacity, and pessimists, who hold a convex one. A no-trade theorem is stated and proved under the assumption of common beliefs with uncertainty.
Keywords. Knightian uncertainty, capacity, Choquet asset pricing rule, no-trade.
Format. Microsoft Word
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Authors addresses:
Marcello Basili
Dept. of Economics,
University of Siena
P.za San Francesco 7,
35100, Siena, ITALY
Fulvio Fontini
Dept. of Economics,
University of Siena.
P.za San Francesco 7
-53100- Siena, ITALY
E-mail addresses:
| Marcello Basili | basili@unisi.it |
| Fulvio Fontini | fontini@unisi.it |
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