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Agreeable Bets with Multiple Priors

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  • Atsushi Kajii

    (Institute of Economic Research, Kyoto University)

  • Takashi Ui

    (Faculty of Economics, Yokohama National University)

Abstract

This paper considers a two agent model of trade with multiple priors. First, we characterize the existence of an agreeable bet on some event in terms of the set of priors. It is then shown that the existence of an agreeable bet on some event is a strictly stronger condition than the existence of an agreeable trade, whereas the two conditions are equivalent in the standard Bayesian framework. Secondly, we show that the two conditions are equivalent when the set of priors is the core of a convex capacity.

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File URL: http://www.kier.kyoto-u.ac.jp/DP/DP581.pdf
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Bibliographic Info

Paper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 581.

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Length: 6 pages
Date of creation: Feb 2004
Date of revision:
Handle: RePEc:kyo:wpaper:581

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Keywords: multiple priors; convex capacity; agreeing and disagreeing; Choquet integralm;

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References

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  1. Antoine Billot & Alain Chateauneuf & Itzhak Gilboa & Jean-Marc Tallou, 2002. "Sharing beliefs and the absence of betting in the Choquet expected utility model," Statistical Papers, Springer, Springer, vol. 43(1), pages 127-136, January.
  2. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, Econometric Society, vol. 57(3), pages 571-87, May.
  3. Denneberg, Dieter, 2002. "Conditional expectation for monotone measures, the discrete case," Journal of Mathematical Economics, Elsevier, vol. 37(2), pages 105-121, April.
  4. Feinberg, Yossi, 2000. "Characterizing Common Priors in the Form of Posteriors," Journal of Economic Theory, Elsevier, Elsevier, vol. 91(2), pages 127-179, April.
  5. Antoine Billot & Alain Chateauneuf & Itzhak Gilboa & Jean-Marc Tallon, 2000. "Sharing Beliefs: Between Agreeing and Disagreeing," Econometrica, Econometric Society, Econometric Society, vol. 68(3), pages 685-694, May.
  6. Atsushi Kajii & Takashi Ui, 2004. "Trade with Heterogeneous Multiple Priors," KIER Working Papers, Kyoto University, Institute of Economic Research 582, Kyoto University, Institute of Economic Research.
  7. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
  8. Samet, Dov, 1998. "Common Priors and Separation of Convex Sets," Games and Economic Behavior, Elsevier, Elsevier, vol. 24(1-2), pages 172-174, July.
  9. Alain Chateauneuf & Rose Anne Dana & Jean-Marc Tallon, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00451997, HAL.
  10. Robert J Aumann, 1999. "Agreeing to Disagree," Levine's Working Paper Archive 512, David K. Levine.
  11. Tallon, Jean-Marc, 1998. "Do sunspots matter when agents are Choquet-expected-utility maximizers?," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 22(3), pages 357-368, March.
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Cited by:
  1. Strzalecki, Tomasz & Werner, Jan, 2011. "Efficient allocations under ambiguity," Journal of Economic Theory, Elsevier, Elsevier, vol. 146(3), pages 1173-1194, May.
  2. Dominiak, Adam & Eichberger, Jürgen & Lefort, Jean-Philippe, 2012. "Agreeable trade with optimism and pessimism," Mathematical Social Sciences, Elsevier, Elsevier, vol. 64(2), pages 119-126.
  3. repec:hal:journl:halshs-00281582 is not listed on IDEAS
  4. repec:hal:journl:halshs-00470670 is not listed on IDEAS
  5. Atsushi Kajii & Takashi Ui, 2004. "Trade with Heterogeneous Multiple Priors," KIER Working Papers, Kyoto University, Institute of Economic Research 582, Kyoto University, Institute of Economic Research.
  6. Dana, R.A. & Le Van, C., 2010. "Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling," Journal of Economic Theory, Elsevier, Elsevier, vol. 145(6), pages 2186-2202, November.

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