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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- Schmeidler, David, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Econometric Society, vol. 57(3), pages 571-87, May.
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"A more robust definition of subjective probability,"
Discussion Paper Serie A
365, University of Bonn, Germany.
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- Mark J. Machina & David Schmeidler, 1990. "A More Robust Definition of Subjective Probability," Discussion Paper Serie A 306, University of Bonn, Germany.
- Daniel Ellsberg, 2000. "Risk, Ambiguity and the Savage Axioms," Levine's Working Paper Archive 7605, David K. Levine.
- Kin Chung Lo, 2000. "Rationalizability and the savage axioms," Economic Theory, Springer, vol. 15(3), pages 727-733.
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