The Review of Economic Studies Limited. Ambiguity and Rational Expectations Equilibria

This paper demonstrates the existence and robustness of partially revealing rational expectations equilibria in general exchange economies when some traders have non-smooth ambiguity-averse pref-erences. This finding illustrates that models with non-smooth 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 or von Neumann–Morgenstern utility assumptions or the presence of “noise.