Sbuelz, Alessandro; Trojani, Fabio - In: Journal of Economic Dynamics and Control 32 (2008) 11, pp. 3695-3717
Control problems with recursive multiple-priors utility (RMPU) are highly non-linear so that RMPU asset prices have been studied in very simple exchange economies only. We identify a continuous-time exchange equilibrium with locally-constrained entropy RMPU (LCE-RMPU) that is tractable even in...