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Ambiguous Correlation

Author

Listed:
  • Larry G. Epstein

    () (Boston University)

  • Yoram Halevy

    () (University of British Columbia)

Abstract

Many decisions are made in environments where outcomes are determined by the realization of multiple random events. A decision maker may be uncertain how these events are related. We identify and experimentally substantiate behavior that intuitively reflects a lack of confidence in their joint distribution. Our findings suggest a dimension of ambiguity which is different from that in the classical distinction between risk and "Knightian uncertainty."

Suggested Citation

  • Larry G. Epstein & Yoram Halevy, 2017. "Ambiguous Correlation," Boston University - Department of Economics - Working Papers Series WP2017-006, Boston University - Department of Economics.
  • Handle: RePEc:bos:wpaper:wp2017-006
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    File URL: http://www.bu.edu/econ/files/2017/04/Epstein-Ambiguous.pdf
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    References listed on IDEAS

    as
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