When an Event Makes a Difference

Massimiliano Amarante and Fabio Maccheroni

Theory and Decision, 2006, vol. 60, issue 2, 119-126

Abstract: For (S, Σ) a measurable space, let $${\cal C}_1$$ and $${\cal C}_2$$ be convex, weak * closed sets of probability measures on Σ. We show that if $${\cal C}_1$$ ∪ $${\cal C}_2$$ satisfies the Lyapunov property , then there exists a set A ∈ Σ such that min μ1 ∈ $${\cal C}_1$$ μ 1 (A) > max μ2 ∈ $${\cal C}_2$$ (A). We give applications to Maxmin Expected Utility (MEU) and to the core of a lower probability. Copyright Springer 2006

Keywords: Lyapunov theorem; Maximin expected utility; lower probability (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s11238-005-4569-x

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