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When an Event Makes a Difference

Author Info

Listed author(s):
  • Massimiliano Amarante
  • Fabio Maccheroni

    ()

Abstract

For (S, Σ) a measurable space, let $${\cal C}_1$$ and $${\cal C}_2$$ be convex, weak * closed sets of probability measures on Σ. We show that if $${\cal C}_1$$ ∪ $${\cal C}_2$$ satisfies the Lyapunov property , then there exists a set A ∈ Σ such that min μ1 ∈ $${\cal C}_1$$ μ 1 (A) > max μ2 ∈ $${\cal C}_2$$ (A). We give applications to Maxmin Expected Utility (MEU) and to the core of a lower probability. Copyright Springer 2006

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File URL: http://hdl.handle.net/10.1007/s11238-005-4569-x
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Article provided by Springer in its journal Theory and Decision.

Volume (Year): 60 (2006)
Issue (Month): 2 (05)
Pages: 119-126

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Handle: RePEc:kap:theord:v:60:y:2006:i:2:p:119-126
DOI: 10.1007/s11238-005-4569-x
Contact details of provider: Web page: http://www.springer.com

Order Information: Web: http://www.springer.com/economics/economic+theory/journal/11238/PS2

Keywords: Lyapunov theorem; Maximin expected utility; lower probability;

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  1. Nehring, Klaus, 1999. "Capacities and probabilistic beliefs: a precarious coexistence," Mathematical Social Sciences, Elsevier, vol. 38(2), pages 197-213, September.
  2. Ghirardato, Paolo & Marinacci, Massimo, 2002. "Ambiguity Made Precise: A Comparative Foundation," Journal of Economic Theory, Elsevier, vol. 102(2), pages 251-289, February.
  3. Epstein, Larry G & Zhang, Jiankang, 2001. "Subjective Probabilities on Subjectively Unambiguous Events," Econometrica, Econometric Society, vol. 69(2), pages 265-306, March.
  4. Jiankang Zhang, 2002. "Subjective ambiguity, expected utility and Choquet expected utility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 20(1), pages 159-181.
  5. Massimo Marinacci, 2002. "Probabilistic Sophistication and Multiple Priors," Econometrica, Econometric Society, vol. 70(2), pages 755-764, March.
  6. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
  7. Amarante, Massimiliano & Filiz, Emel, 2007. "Ambiguous events and maxmin expected utility," Journal of Economic Theory, Elsevier, vol. 134(1), pages 1-33, May.
  8. Massimiliano Amarante, 2005. "Ambiguity, measurability and multiple priors," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 26(4), pages 995-1006, November.
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Cited by:

  1. Amarante, Massimiliano, 2014. "A characterization of exact non-atomic market games," Journal of Mathematical Economics, Elsevier, vol. 54(C), pages 59-62.
  2. Massimiliano Amarante & Luigi Montrucchio, 2010. "The bargaining set of a large game," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 43(3), pages 313-349, June.
  3. Massimiliano Amarante & Luigi Montrucchio, 2007. "Mas-Colell Bargaining Set of Large Games," Carlo Alberto Notebooks 63, Collegio Carlo Alberto.

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