Futures market equilibrium under Knighti
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Donald Lien; Yaqin Wang
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Article
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2003
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John Wiley and Sons
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English
β 122 KB
## Abstract This paper examines the effects of Knightian uncertainty on a commodity futures market within the NewberyβStiglitz framework. It is shown that Knightian traders act more conservatively. In a partial trade equilibrium, risk aversion and Knightian uncertainty have qualitatively similar ef