Current Work


Ambiguity and partially-revealing rational expectations equilibria (with Jayant Ganguli)Submitted.

This paper proves the existence and robustness of partially-revealing rational expectations equilibria (REE) when this equilibrium concept is expanded to allow for some agents to have preferences that display ambiguity aversion. Furthermore, the generic existence of fully-revealing REE is proven for a commonly-used subset of the class of ambiguity averse preferences.  This finding illustrates that models with ambiguity aversion provide a relatively tractable framework through which partial information revelation may be studied in a general equilibrium setting without relying on particular distributional assumptions or the presence of noise traders. Constructive examples provide further insight into the properties of these equilibria. [PDF]


​Living with ambiguity: Prices and survival when investors have heterogeneous preferences for ambiguity (forthcoming in Economic Theory)

This paper investigates asset prices and the long run wealth of investors in an asset market populated by investors who have heterogeneous preferences over risk and ambiguity. In a dynamic setting I characterize conditions under which investors who are averse to ambiguity will have an effect on long-run asset prices. If ambiguity averse investors always believe that the true distribution could be wrong in many possible directions then a necessary condition for their survival is that the market exhibit no aggregate risk, a condition not met by many asset pricing models of interest. However, unlike investors with irrational beliefs, there do exist markets for which ambiguity averse investors can survive. [PDF]


The dynamics of partially-revealing rational expectations equilibria (with Jayant Ganguli)


Mutual funds and market power: Market selection with history-based investment rules​

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