| 简介： | We develop a two-date general equilibrium model with CARA investors and multivariate variance-gamma payoffs driven by a common Gamma clock. Sophisticated investors know the true rate; naive investors maximize minimum expected utility over an interval. Gamma mixing makes the certainty equivalent logarithmic, yet strict concavity keeps demand unique; the naive worst-case rate switches across exposure thresholds, making demand kinked. A common price direction reduces market clearing to a scalar root and yields continuous but kinked regime transitions. The naive-share effect is state dependent, Gamma shape scales discounts and premia without moving regimes, and correlation can relocate regimes. True expected payoffs differ from the variance-gamma location vector, separating risk premia from location discounts. The mixed-sophisticated root difference governs benchmark price distance and ambiguity-induced price-scaled alpha, while CAPM alpha also reflects unspanned skewness. |