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Comment on Ellsberg's two-color experiment, portfolio inertia and ambiguity

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Author Info

  • Youichiro Higashi

    (Department of economics - University of Rochester)

  • Sujoy Mukerji

    (University of Oxford (UK) - University of Oxford (UK))

  • Norio Takeoka

    (Department of economics - University of Rochester)

  • Jean-Marc Tallon

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)

Abstract

The final step in the proof of Proposition 1 (p.311) of Mukerji and Tallon (2003) may not hold in generalbecause $\varepsilon>0$ in the proof cannot be chosen independently of $w,z$. We point out by a counterexample that the axioms they impose are too weak for Proposition 1. We introduce a modified set of axioms and re-establish the proposition

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Bibliographic Info

Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00175266.

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Date of creation: Sep 2008
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Publication status: Published, International Journal of Economic Theory, 2008, 4, 3, 433-444
Handle: RePEc:hal:cesptp:halshs-00175266

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00175266
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Related research

Keywords: ambiguity; bid ask spread; Ellsberg paradox;

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  1. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2005. "A Smooth Model of Decision Making under Ambiguity," Econometrica, Econometric Society, Econometric Society, vol. 73(6), pages 1849-1892, November.
  2. Mukerji, Sujoy & Tallon, Jean-Marc, 2003. "Ellsberg's two-color experiment, portfolio inertia and ambiguity," Journal of Mathematical Economics, Elsevier, vol. 39(3-4), pages 299-316, June.
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