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Asymmetric Information, Nonadditive Expected Utility, and the Information Revealed by Prices: An Example

Listed author(s):
  • Jean-Marc Tallon


    (M.A.D. - UP1 - Université Panthéon-Sorbonne)

I develop a simple example of a model in which agents have asymmetric information, and preferences that are represented by a nonadditive expected utility function. The a priori uninformed agent, after observing the equilibrium price, has conditional beliefs that remain nonadditive. Then, even when the equilibrium price function is fully revealing (i.e., one-to-one), it may be worth-while for an a priori uninformed agent to buy `redundant' private information if he is more confident in that information than in that revealed by the price system.

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Paper provided by HAL in its series Post-Print with number halshs-00502491.

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Date of creation: May 1998
Publication status: Published in International Economic Review, Wiley, 1998, 39 (2), pp.329-342
Handle: RePEc:hal:journl:halshs-00502491
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