Welfare implications of mitigating investment uncertainty

被引：0

作者：

Ogawa, Takayuki ^{[1
]}

Sakamoto, Jun ^{[2
]}

机构：

[1] Osaka Univ Econ, Fac Econ, Higashiyodogawa Ku, 2-2-8 Osumi, Osaka 5338533, Japan

[2] Kobe Int Univ, Fac Econ, Higashinada Ku, 9-1-6 Koyocho Naka, Kobe, Hyogo 6580032, Japan

来源：

ANNALS OF FINANCE | 2021年 / 17卷 / 04期

关键词：

Ambiguity; Heterogeneous agents; Uncertainty; Welfare effects; EXPECTED UTILITY; ASSET PRICES; AMBIGUITY; RISK; PARTICIPATION; AVERSION; CHOICE; MODEL;

D O I：

10.1007/s10436-021-00395-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study explores the welfare implications of mitigating investment uncertainty in the context of Easley and O'Hara (Rev Financ Stud 22:1817-1843, 2009) While one may expect welfare gains by encouraging participation in financial markets by ambiguity-averse investors, we formally show that it hurts other investors and thus is not Pareto-improving without appropriate income transfers. We also examine the welfare effects of income redistribution among heterogeneous investors and government spending on investor education.

引用

页码：559 / 582

页数：24

共 23 条

[11] Ambiguity and Nonparticipation: The Role of Regulation [J].

Easley, David ;

O'Hara, Maureen .

REVIEW OF FINANCIAL STUDIES, 2009, 22 (05) :1817-1843

[12] UNCERTAINTY, RISK-NEUTRAL MEASURES AND SECURITY PRICE BOOMS AND CRASHES [J].

EPSTEIN, LG ;

WANG, T .

JOURNAL OF ECONOMIC THEORY, 1995, 67 (01) :40-82

[13] A two-person dynamic equilibrium under ambiguity [J].

Epstein, LG ;

Miao, JJ .

JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2003, 27 (07) :1253-1288

[14] INTERTEMPORAL ASSET PRICING UNDER KNIGHTIAN UNCERTAINTY [J].

EPSTEIN, LG ;

WANG, T .

ECONOMETRICA, 1994, 62 (02) :283-322

[15] Knightian uncertainty and poverty trap in a model of economic growth [J].

Fukuda, Shin-ichi .

REVIEW OF ECONOMIC DYNAMICS, 2008, 11 (03) :652-663

[16] MAXMIN EXPECTED UTILITY WITH NON-UNIQUE PRIOR [J].

GILBOA, I ;

SCHMEIDLER, D .

JOURNAL OF MATHEMATICAL ECONOMICS, 1989, 18 (02) :141-153

[17] Ambiguity in asset pricing and portfolio choice: a review of the literature [J].

Guidolin, Massimo ;

Rinaldi, Francesca .

THEORY AND DECISION, 2013, 74 (02) :183-217

[18] Limited participation under ambiguity of correlation [J].

Huang, Helen Hui ;

Zhang, Shunming ;

Zhu, Wei .

JOURNAL OF FINANCIAL MARKETS, 2017, 32 :97-143

[19] Ambiguous Business Cycles [J].

Ilut, Cosmin L. ;

Schneider, Martin .

AMERICAN ECONOMIC REVIEW, 2014, 104 (08) :2368-2399

[20] THE GENERAL THEORY OF EMPLOYMENT [J].

Keynes, J. M. .

QUARTERLY JOURNAL OF ECONOMICS, 1937, 51 :209-223

← 1 2 3 →