Are Probabilities Used in Markets?
Working in a complete-markets setting, a property of asset demands in identified that is inconsistent with the investor's preference being based on probabilities. In this way, a market counterpart of the Ellsberg Paradox is provided.
|Date of creation:||1999|
|Date of revision:|
|Contact details of provider:|| Postal: University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.|
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- Schmeidler, David, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Econometric Society, vol. 57(3), pages 571-87, May.
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- Mark J. Machina & David Schmeidler, 1990.
"A More Robust Definition of Subjective Probability,"
Discussion Paper Serie A
306, University of Bonn, Germany.
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- Itzhak Gilboa & David Schmeidler, 1989.
"Maxmin Expected Utility with Non-Unique Prior,"
- Kin Chung Lo, 2000. "Rationalizability and the savage axioms," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 15(3), pages 727-733.
- Daniel Ellsberg, 2000. "Risk, Ambiguity and the Savage Axioms," Levine's Working Paper Archive 7605, David K. Levine.
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