Ambiguity, Measurability and Multiple Priors
AbstractThe 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 . 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 . 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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Bibliographic InfoPaper provided by Columbia University, Department of Economics in its series Discussion Papers with number 0203-23.
Length: 15 pages
Date of creation: 2003
Date of revision:
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- Amarante, Massimiliano & Filiz, Emel, 2007.
"Ambiguous events and maxmin expected utility,"
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