Are Probabilities Used in Markets?

Larry Epstein ()

No 464, RCER Working Papers from University of Rochester - Center for Economic Research (RCER)

Abstract: 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.

Keywords: FINANCIAL MARKET; SECURITIES; DEMAND; INVESTMENTS (search for similar items in EconPapers)
JEL-codes: G15 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-fmk
Date: 1999
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Related works:
Journal Article: Are Probabilities Used in Markets ? (2000)
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Persistent link: http://EconPapers.repec.org/RePEc:roc:rocher:464

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