Comment on Ellsberg's two-color experiment, portfolio inertia and ambiguity
The final step in the proof of Proposition 1 (p.311) of Mukerji and Tallon (2003) may not hold in generalbecause $\varepsilon>0$ in the proof cannot be chosen independently of $w,z$. We point out by a counterexample that the axioms they impose are too weak for Proposition 1. We introduce a modified set of axioms and re-establish the proposition
|Date of creation:||Sep 2008|
|Publication status:||Published in International Journal of Economic Theory, Wiley, 2008, 4 (3), pp.433-444. <10.1111/j.1742-7363.2008.00087.x>|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00175266|
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- Mukerji, Sujoy & Tallon, Jean-Marc, 2003.
"Ellsberg's two-color experiment, portfolio inertia and ambiguity,"
Journal of Mathematical Economics,
Elsevier, vol. 39(3-4), pages 299-316, June.
- Sujoy Mukerji & Jean-Marc Tallon, 2003. "Ellsberg's two-color experiment, portfolio inertia and ambiguity," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00499358, HAL.
- Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2005. "A Smooth Model of Decision Making under Ambiguity," Econometrica, Econometric Society, vol. 73(6), pages 1849-1892, November.
- Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2002. "A smooth model of decision making under ambiguity," ICER Working Papers - Applied Mathematics Series 11-2003, ICER - International Centre for Economic Research, revised Apr 2003.
- Sujoy Mukerji & Peter Klibanoff, 2002. "A Smooth Model of Decision,Making Under Ambiguity," Economics Series Working Papers 113, University of Oxford, Department of Economics.
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