The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria with short-selling when investors have a single belief about future returns, is reconsidered. Investors use measures of risk....

Abstract: Insurance policies seldom provide policy holders with complete coverage against losses. Most policies limit coverage with deductibles or include an upper limit. A new explanation for existence of deductibles and upper limits on coverage is given based on multiplicity of agents' priors...

This paper characterizes the core of a differentiable convex distortion of a probability measure on a nonatomic space by identifying it with the set of densities which dominate the derivative of the distortion, for second order stochastic dominance. The densities that have the same distribution...

We develop a theory of decision making and General Equilibrium for contingent markets when incomplete preferences are generated by second-order stochastic dominance (SSD). Demand, Pareto-optima and equilibria dominance are fully characterized. Demands and equilibrium allocations are...

This survey paper has three purposes: We first present in finite dimension, different approaches to the problem of uniqueness of Arrow-Debreu equilibrium when agents have additively separable utilities. We then study how, in the specific framework of a two period contingent good economy the...

In finite markets with short-selling, conditions on agents’ utilities insuring the existence of efficient allocations and equilibria are by now well understood. In infinite markets, a standard assumption is to assume that the individually rational utility set is compact. Its draw-back is that...

In order to analyse the effect of ambiguity and uncertainty aversion on equilibrium welfare, a two period, pure exchange one good economy is considered. Agents are Choquet-expected-utility maximizers with same convex capacity and strictly concave utility index. It is proven that equilibrium is...

A theory of individual decision and a general equilibrium theory in complete markets are provided, for the case of infinite state space when incomplete preferences are modelled by second order stochastic dominance (SSD). While, unlike the situation in the finite state space case, the demand of a...

The theory of existence of equilibrium with short-selling is reconsidered under risk and ambiguity modelled by risk averse variational preferences. No-arbitrage conditions are given in terms of risk adjusted priors. A sufficient condition for existence of efficient allocations is the overlapping...