A two-person dynamic equilibrium under a
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Larry G. Epstein; Jianjun Miao
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Article
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2003
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Elsevier Science
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English
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This paper describes a pure-exchange, continuous-time economy with two heterogeneous agents and complete markets. A novel feature of the economy is that agents perceive some security returns as ambiguous in the sense often attributed to Frank Knight. The equilibrium is described completely in closed