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Comment on Ellsberg's two-color experiment, portfolio inertia and ambiguity

Author

Listed:
  • Youichiro Higashi

    (Department of economics - University of Rochester [USA])

  • Sujoy Mukerji

    (University of Oxford)

  • Norio Takeoka

    (Department of economics - University of Rochester [USA])

  • Jean-Marc Tallon

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

Abstract

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

Suggested Citation

  • Youichiro Higashi & Sujoy Mukerji & Norio Takeoka & Jean-Marc Tallon, 2008. "Comment on Ellsberg's two-color experiment, portfolio inertia and ambiguity," Post-Print halshs-00175266, HAL.
    • Handle: RePEc:hal:journl:halshs-00175266
    DOI: 10.1111/j.1742-7363.2008.00087.x
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00175266v1
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    Cited by:

    1. Antoine Billot & Sujoy Mukerji & Jean-Marc Tallon, 2020. "Market Allocations under Ambiguity: A Survey," Revue économique, Presses de Sciences-Po, vol. 71(2), pages 267-282.
    2. Chateauneuf, Alain & Ventura, Caroline, 2010. "The no-trade interval of Dow and Werlang: Some clarifications," Mathematical Social Sciences, Elsevier, vol. 59(1), pages 1-14, January.

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