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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 (Oxford University - University of Oxford)
Norio Takeoka (Department of economics - University of Rochester)
Jean-Marc Tallon () (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)

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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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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00175266_v1.

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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_v1

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Keywords: ambiguity; bid ask spread; Ellsberg paradox;

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  1. 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. [Downloadable!] (restricted)
  2. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2002. "A smooth model of decision making under ambiguity," ICER Working Papers - Applied Mathematics Series 11-2003, ICER - International Centre for Economic Research, revised Apr 2003. [Downloadable!]
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