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Comparison of experts in the non-additive case

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We adapt the model of comparisons of experts initiated by Lehrer (“Comparison of experts JME 98”) to a context of uncertainty which cannot be modelised by expected utility. We examine the robustness of Lehrer in this new context. Unlike expected utility, there exist several ways to define the strategies allowing to compare the experts, we propose some of them which guarantee a positive value of information.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/cahiers2006/B06088.pdf
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Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number b06088.

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Length: 24 pages
Date of creation: Dec 2006
Handle: RePEc:mse:wpsorb:b06088
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  1. Gilboa Itzhak & Schmeidler David, 1993. "Updating Ambiguous Beliefs," Journal of Economic Theory, Elsevier, vol. 59(1), pages 33-49, February.
  2. Lehrer, Ehud, 1998. "Comparison of experts," Journal of Mathematical Economics, Elsevier, vol. 30(2), pages 207-214, September.
  3. Wang, Tan, 2003. "Conditional preferences and updating," Journal of Economic Theory, Elsevier, vol. 108(2), pages 286-321, February.
  4. Jean-Christophe Vergnaud, 2002. "Information and capacities," Statistical Papers, Springer, vol. 43(1), pages 111-125, January.
  5. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
  6. Lehrer, Ehud, 2005. "Updating non-additive probabilities-- a geometric approach," Games and Economic Behavior, Elsevier, vol. 50(1), pages 42-57, January.
  7. Epstein, Larry G. & Schneider, Martin, 2003. "Recursive multiple-priors," Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
  8. Eichberger, Jurgen & Grant, Simon & Kelsey, David, 2007. "Updating Choquet beliefs," Journal of Mathematical Economics, Elsevier, vol. 43(7-8), pages 888-899, September.
  9. Epstein Larry G. & Le Breton Michel, 1993. "Dynamically Consistent Beliefs Must Be Bayesian," Journal of Economic Theory, Elsevier, vol. 61(1), pages 1-22, October.
  10. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
  11. Aumann, Robert J., 1974. "Subjectivity and correlation in randomized strategies," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 67-96, March.
  12. Maccheroni, Fabio & Marinacci, Massimo & Rustichini, Aldo, 2006. "Dynamic variational preferences," Journal of Economic Theory, Elsevier, vol. 128(1), pages 4-44, May.
  13. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
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