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Ambiguity, Measurability and Multiple Priors

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  • Massimiliano Amarante

    ()
    (Department of Economics, Columbia University)

Abstract

The paper provides a notion of measurability which is suited for a class of Multiple Prior Models. Those characterized by nonatomic countably additive priors. Preferences generating such representations have been recently axiomatized in [12]. A notable feature of our definition of measurability is that an event is measurable if and only if it is unambiguous in the sense of Ghirardato, Maccheroni and Marinacci [8]. In addition, the paper contains a thorough description of the basic properties of the family of measurable/unambiguous sets, of the measure defined on those and of the dependence of the class of measurable sets on the set of priors. The latter is obtained by means of an application of Lyapunov's convexity theorem.

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File URL: http://www.econ.columbia.edu/RePEc/pdf/DP0203-23.pdf
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Bibliographic Info

Paper provided by Columbia University, Department of Economics in its series Discussion Papers with number 0203-23.

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Length: 15 pages
Date of creation: 2003
Date of revision:
Handle: RePEc:clu:wpaper:0203-23

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Cited by:
  1. Claude HENRY & Marc HENRY, 2002. "Formalization and Applications of the Precuationary Principle," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002009, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  2. Amarante, Massimiliano & Filiz, Emel, 2007. "Ambiguous events and maxmin expected utility," Journal of Economic Theory, Elsevier, vol. 134(1), pages 1-33, May.
  3. Claude Henry & Marc Henry, 2002. "Formalization and applications of the precautionary principles," Discussion Papers 0102-22, Columbia University, Department of Economics.

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