Aggregation of not necessarily independent opinions
We consider an aggregation scheme of opinions expressed through different probability distributions or multiple priors decision model. The decision-maker adopts entropy maximization as a measure of risk diversification and a rational form of prudence for valuing uncertain outcomes. We show a new aggregation rule formalization based on the idea that the decision-maker has a more reliable set of outcomes called ordinary and two fat tails that include more ambiguous and extreme events.
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- Phelim Boyle & Lorenzo Garlappi & Raman Uppal & Tan Wang, 2012.
"Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification,"
INFORMS, vol. 58(2), pages 253-272, February.
- Boyle, Phelim & Garlappi, Lorenzo & Uppal, Raman & Wang, Tan, 2010. "Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification," CEPR Discussion Papers 7687, C.E.P.R. Discussion Papers.
- Constantino Tsallis & Celia Anteneodo & Lisa Borland & Roberto Osorio, 2003. "Nonextensive statistical mechanics and economics," Papers cond-mat/0301307, arXiv.org.
- Clemon, Robert T & Winkler, Robert L, 1986. "Combining Economic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 39-46, January.
- Marcello Basili & Alain Chateauneuf, 2011. "Extreme events and entropy: A multiple quantile utility model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00685405, HAL.
- Robert L. Winkler, 1968. "The Consensus of Subjective Probability Distributions," Management Science, INFORMS, vol. 15(2), pages 61-75, October.
- Tsallis, Constantino & Anteneodo, Celia & Borland, Lisa & Osorio, Roberto, 2003. "Nonextensive statistical mechanics and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 89-100. Full references (including those not matched with items on IDEAS)
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