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Ambiguous Correlation

Listed author(s):
  • Epstein, Larry G.
  • Halevy, Yoram

Many decisions are made in environments where outcomes are determined by the realization of multiple random events. A decision maker may be uncertain how these events are related. We identify and experimentally substantiate behavior that intuitively reflects a lack of confidence in their joint distribution. Our findings suggest a dimension of ambiguity which is different from that in the classical distinction between risk and "Knightian uncertainty."

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File URL: http://faculty.arts.ubc.ca/yhalevy/correlation.pdf
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Paper provided by Vancouver School of Economics in its series Microeconomics.ca working papers with number yoram_halevy-2017-2.

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Length: 72 pages
Date of creation: 15 Feb 2017
Date of revision: 15 Feb 2017
Publication status: Forthcoming in Review of Economic Studies
Handle: RePEc:ubc:pmicro:yoram_halevy-2017-2
Contact details of provider: Web page: http://www.economics.ubc.ca/

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