Figure 5 This figure depicts the unconditional expectation of the equilibrium price corresponding to the endogenous fraction of informed agents, λ∗, as a function of the uncertainty size, ωμ, for two values of the ambiguity aversion parameter, α. The left panel sets α=2.5 and the right panel sets α=6. Other parameter values are ωθ =ω =ωz =τ=1, μz =4, μ0 =10, and c=0.6.
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