Ani Guerdjikova

en visio

Ani Guerdjikova, professeur à l'Université Grenoble Alpes et membre du GAEL présentera le papier Financial Market Equilibrium with Bounded Awareness co-écrit avec John Quiggin, professeur d'économie à l'université du Queensland jeudi 28 janvier 2021 à 13 heures.

Abstract:
We consider an infinite-horizon economy with differential awareness. For such economies, we propose an equilibrium concept which requires agents' consumption to be measurable with respect to the individual awareness partitions. We illustrate how the obtained equilibrium allocations observationally differ from those in economies with full awareness. In particular, economies with differential awareness can exhibit (i) lack of insurance against idiosyncratic risk; (ii) partial insurance against aggregate risk; (iii) biased state prices even when beliefs are correct and (iv) overpricing of assets which pay on events with low aggregate payoffs. We next adapt the results of Guerdjikova and Quiggin (2019 a) to show that agents with different levels of awareness can survive and influence prices in the limit. Moreover, differential awareness can lead to belief heterogeneity even in the limit. This is in contrast with the classical result of Blume and Easley (2006) stating that only agents with beliefs closest to the truth can survive. Finally, we examine the welfare implications of bounded awareness. If an increase in awareness comes at the cost of wrong beliefs over the larger state-space, bounded awareness can be welfare-improving, both from an individual and from a social point of view.

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