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Agreeable trade with optimism and pessimism

Adam Dominiak, Jürgen Eichberger and Jean-Philippe Lefort

Mathematical Social Sciences, 2012, vol. 64, issue 2, 119-126

Abstract: In this paper we extend the results on ex-ante agreeable trade of Kajii and Ui [Kajii, A., Ui, T., 2006. Agreeable bets with multiple priors. Journal of Economic Theory 128, 299–305] to the case of non-convex Choquet preferences. We discuss the economic relevance of the main result for the existence of speculative trade under ambiguity. Following Haller [Haller, H., 1990. Non-market reopening, time-consistent plans and the structure of intertemporal preferences. Economics Letters 32, 1–5] we also elaborate the relevance of updating preferences upon arrival of public information for the potential of re-contracting initial contingent claims.

Date: 2012
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DOI: 10.1016/j.mathsocsci.2012.03.006

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