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Ambiguous Events

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Author Info
Massimiliano Amarante () (Department of Economics, Columbia University)
Abstract

We focus on a class of Multiple Prior Models. Those characterized by nonatomic countably additive priors. Preferences generating such representations have been recently axiomatized in [17]. We argue that this is the proper setting for comparing the notions of unambiguous event given by Epstein and Zhang in [7] and by Ghirardato, Maccheroni and Marinacci in [10]. The two definitions are known to be nonequivalent. Our main result is that an event T is unambiguous in the sense of Epstein and Zhang if and only if either (i) it is unambiguous in the sense of [10]; or (ii) conditional on T, the decision maker is an expected utility maximizer. We also provide an easy operational criterion for establishing whether or not an event is unambiguous in the sense of Epstein and Zhang.

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File URL: http://www.econ.columbia.edu/RePEc/pdf/DP0304-04.pdf
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Paper provided by Columbia University, Department of Economics in its series Discussion Papers with number 0304-04.

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Length: 31 pages
Date of creation: 2003
Date of revision:
Handle: RePEc:clu:wpaper:0304-04

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March. [Downloadable!] (restricted)
  2. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April. [Downloadable!] (restricted)
  3. Larry G. Epstein & Martin Schneider, 2001. "Recursive Multiple-Priors," RCER Working Papers 485, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
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  4. Massimo Marinacci & Fabio Maccheroni & Alain Chateauneuf & Jean-Marc Tallon, 2003. "Monotone Continuous Multiple Priors," ICER Working Papers - Applied Mathematics Series 30-2003, ICER - International Centre for Economic Research. [Downloadable!]
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  5. Massimiliano Amarante, 2003. "On the uniqueness of convex-ranged probabilities," Discussion Papers 0203-24, Columbia University, Department of Economics. [Downloadable!]
  6. Ghirardato, Paolo & Maccheroni, Fabio & Marinacci, Massimo, 2002. "Ambiguity from the Differential Viewpoint," Working Papers 1130, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
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  7. Ghirardato, Paolo & Marinacci, Massimo, 2002. "Ambiguity Made Precise: A Comparative Foundation," Journal of Economic Theory, Elsevier, vol. 102(2), pages 251-289, February. [Downloadable!] (restricted)
  8. Massimo Marinacci, 2002. "Probabilistic Sophistication and Multiple Priors," Econometrica, Econometric Society, vol. 70(2), pages 755-764, March. [Downloadable!] (restricted)
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  9. Hansen, Lars Peter & Sargent, Thomas J. & Wang, Neng E., 2002. "Robust Permanent Income And Pricing With Filtering," Macroeconomic Dynamics, Cambridge University Press, vol. 6(01), pages 40-84, February. [Downloadable!]
  10. Massimo Marinacci & Paolo Ghirardato, 2001. "Risk, ambiguity, and the separation of utility and beliefs," ICER Working Papers - Applied Mathematics Series 21-2001, ICER - International Centre for Economic Research. [Downloadable!]
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  11. Stinchcombe, Maxwell B, 1997. "Countably Additive Subjective Probabilities," Review of Economic Studies, Blackwell Publishing, vol. 64(1), pages 125-46, January. [Downloadable!] (restricted)
  12. Ghirardato, Paolo & Katz, Jonathan N., 2000. "Indecision Theory: Explaining Selective Abstention in Multiple Elections," Working Papers 1106, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Massimiliano Amarante, 2003. "On the uniqueness of convex-ranged probabilities," Discussion Papers 0203-24, Columbia University, Department of Economics. [Downloadable!]
  2. Massimiliano Amarante, 2003. "Ambiguity, Measurability and Multiple Priors," Discussion Papers 0203-23, Columbia University, Department of Economics. [Downloadable!]
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