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Aggregation of not necessarily independent opinions

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  • Marcello Basili

    ()

  • Luca Pratelli

    ()

Abstract

We consider an aggregation scheme of opinions expressed through different probability distributions or multiple priors decision model. The decision-maker adopts entropy maximization as a measure of risk diversification and a rational form of prudence for valuing uncertain outcomes. We show a new aggregation rule formalization based on the idea that the decision-maker has a more reliable set of outcomes called ordinary and two fat tails that include more ambiguous and extreme events.

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Bibliographic Info

Paper provided by Department of Economics, University of Siena in its series Department of Economics University of Siena with number 677.

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Date of creation: Jun 2013
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Handle: RePEc:usi:wpaper:677

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Keywords: Ambiguity; Aggregation; Entropy; Multiple Priors; Quantiles;

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References

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  1. Robert L. Winkler, 1968. "The Consensus of Subjective Probability Distributions," Management Science, INFORMS, vol. 15(2), pages B61-B75, October.
  2. Boyle, Phelim & Garlappi, Lorenzo & Uppal, Raman & Wang, Tan, 2010. "Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification," CEPR Discussion Papers 7687, C.E.P.R. Discussion Papers.
  3. Clemon, Robert T & Winkler, Robert L, 1986. "Combining Economic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 39-46, January.
  4. Tsallis, Constantino & Anteneodo, Celia & Borland, Lisa & Osorio, Roberto, 2003. "Nonextensive statistical mechanics and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 89-100.
  5. Constantino Tsallis & Celia Anteneodo & Lisa Borland & Roberto Osorio, 2003. "Nonextensive statistical mechanics and economics," Papers cond-mat/0301307, arXiv.org.
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Cited by:
  1. Marcello Basili, 2013. "Ellsberg Rules and Keynes’s State of Long-Term Expectation: More Than an Accordance," Department of Economics University of Siena 685, Department of Economics, University of Siena.

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