Asymmetric Information, Nonadditive Expected Utility, and the Information Revealed by Prices: An Example
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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|Date of creation:||May 1998|
|Publication status:||Published in International Economic Review, Wiley, 1998, 39 (2), pp.329-342|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00502491|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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