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Ambiguity-Averse Aggregation under Heterogeneous Beliefs

Thomas Norman

Economic Theory Bulletin2025https://doi.org/10.1007/s40505-025-00304-1article
ABDC B
Weight
0.50

What the paper says

If a complete-markets economy is composed of expected utility maximizers with heterogeneous beliefs and logarithmic utility, then it may be well represented via a single expected utility-maximizing agent with a “consensus belief”. For more general preferences, an “aggregation bias” necessitates alteration of the economy’s fundamentals if such a representation is to be constructed. But no such aggregation bias arises if the representative agent is allowed to be ambiguity averse, in the sense that he maximizes his Choquet expected utility under a convex “consensus capacity”. The economy thus becomes ambiguity averse in the aggregate as a consequence of heterogeneity in beliefs.

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https://doi.org/https://doi.org/10.1007/s40505-025-00304-1

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@article{thomas2025,
  title        = {{Ambiguity-Averse Aggregation under Heterogeneous Beliefs}},
  author       = {Thomas Norman},
  journal      = {Economic Theory Bulletin},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1007/s40505-025-00304-1},
}

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Ambiguity-Averse Aggregation under Heterogeneous Beliefs

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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