Comment on Ellsberg's two-color experiment, portfolio inertia and ambiguity

Youichiro Higashi, Sujoy Mukerji (), Norio Takeoka and Jean-Marc Tallon ()
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Youichiro Higashi: Department of economics - University of Rochester
Norio Takeoka: Department of economics - University of Rochester

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: The final step in the proof of Proposition 1 (p.311) of Mukerji and Tallon (2003) may not hold in generalbecause $\varepsilon>0$ in the proof cannot be chosen independently of $w,z$. We point out by a counterexample that the axioms they impose are too weak for Proposition 1. We introduce a modified set of axioms and re-establish the proposition

Keywords: ambiguity; bid ask spread; Ellsberg paradox (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cbe and nep-upt
Date: 2008-09
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00175266/en/
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Published, International Journal of Economic Theory, 2008, 4, 3, 433-444

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Journal Article: Comment on "Ellsberg's two-color experiment, portfolio inertia and ambiguity" (2008)
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