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Ambiguity, measurability and multiple priors

Massimiliano Amarante

Title:
Ambiguity, measurability and multiple priors
Author(s):
Amarante, Massimiliano
Date:
Type:
Working papers
Department:
Economics
Permanent URL:
Series:
Department of Economics Discussion Papers
Part Number:
0203-23
Publisher:
Department of Economics, Columbia University
Publisher Location:
New York
Abstract:
The paper provides a notion of measurability which is suited for a class of Multiple Prior Models. Those characterized by nonatomic countably additive priors. Preferences generating such representations have been recently axiomatized in [12]. A notable feature of our definition of measurability is that an event is measurable if and only if it is unambiguous in the sense of Ghirardato, Maccheroni and Marinacci [8]. In addition, the paper contains a thorough description of the basic properties of the family of measurable/unambiguous sets, of the measure defined on those and of the dependence of the class of measurable sets on the set of priors. The latter is obtained by means of an application of Lyapunov's convexity theorem.
Subject(s):
Economic theory
Item views:
157
Metadata:
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