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Author Info
Larry Epstein () (University of Rochester)
Martin Schneider () (UCLA)

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Abstract

The inability of the Bayesian model to accomodate Ellsberg-type behavior is well known. This paper focuses on another limitation of the Bayesian model, specific to a dynamic setting, namely the inability to permit a distinction between experiments that are identical and those that are only indistinguishable. It is shown that such a distinction is afforded by recursive multiple-priors utility. Two related technical contributions are the proff of a strong LLN for recursive multiple-priors utility and the extension to sets of priors of the notion of regularity of a probability measure.

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File URL: http://rcer.econ.rochester.edu/RCERPAPERS/rcer_496.pdf
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Publisher Info
Paper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 496.

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Length: 23 pages
Date of creation: Oct 2002
Date of revision:
Publication status: forthcoming in JET
Handle: RePEc:roc:rocher:496

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Postal: UNIVERSITY OF ROCHESTER, CENTER FOR ECONOMIC RESEARCH, DEPARTMENT OF ECONOMICS, HARKNESS 231 ROCHESTER NEW YORK 14627 U.S.A.

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Related research
Keywords: ambiguity; multiple-priors; Ellsberg Paradox; recursive utility; law of large numbers; independent experiments; exchangeable experiments;

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Find related papers by JEL classification:
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
D9 - Microeconomics - - Intertemporal Choice and Growth

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Cited by:
(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. Larry Epstein & Martin Schneider, 2006. "Learning Under Ambiguity," RCER Working Papers 527, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
    Other versions:
  2. Larry Epstein & Martin Schneider, 2005. "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers 519, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
    Other versions:
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