Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is only possible if all discounted net trades of the...

Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is only possible if all discounted net trades of the...

This paper develops a general theory of irreversible investment of a single firm that chooses a dynamic capacity expansion plan in an uncertain environment. The model is set up free of any distributional or any parametric assumptions and hence encompasses all the existing models. As the first...

We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward induction fails. If, however, the class of priors is time-consistent, we establish a generalization of the classical theory of optimal stopping. To this end, we develop first...

The effect of incomplete information on the term structure of interest rates is examined in the framework of a pure exchange economy under uncertainty where aggregate output grows at a constant rate. If the growth rate is known, the term structure is flat. In contrast, the term structure is a...

In this paper, a notion of risk measure is defined for dynamic models. Three axioms, coherence, relevance and dynamic consistence, are postulated. It is shown that every dynamic risk measure that satisfies the axioms can be represented as the maximal expected present value of future losses where...

We model and solve best choice problems in the multiple prior framework: An ambiguity averse decision maker aims to choose the best among a fixed number of applicants that appear sequentially in a random order. The agent faces ambiguity about the probability that a candidate—a relatively top...

We study a dynamic and infinite{dimensional model with incomplete multiple prior preferences. In interior efficient allocations, agents share a common risk{adjusted prior and subjective interest rate. Interior efficient allocations and equilibria coincide with those of economies with subjective...

We study a dynamic and in nite{dimensional model with Knightian uncertainty modeled by incomplete multiple prior preferences. In in- terior e cient allocations, agents share a common risk{adjusted prior and use the same subjective interest rate. Interior e cient alloca- tions and equilibria...

We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.