Are Probabilities Used in Markets ?
Working in a complete-markets setting, a property of asset demands in identified that is inconsistent with the investor's preference being based on probabilities. In this way, a market counterpart of the Ellsberg Paradox is provided.
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References listed on IDEAS
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- David Schmeidler, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Levine's Working Paper Archive
7662, David K. Levine.
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Discussion Paper Serie A
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- Kin Chung Lo, 2000. "Rationalizability and the savage axioms," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 15(3), pages 727-733.
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