Ambiguous Correlation

Larry Epstein and Yoram Halevy

The Review of Economic Studies, 2019, vol. 86, issue 2, 668-693

Abstract: Many decisions are made in environments where outcomes are determined by the realization of multiple random events. A decision maker may be uncertain how these events are related. We identify and experimentally substantiate behaviour that intuitively reflects a lack of confidence in their joint distribution. Our findings suggest a dimension of ambiguity which is different from that in the classical distinction between risk and “Knightian uncertainty”.

Keywords: Ambiguity; Confidence; Correlation neglect; Ellsberg Paradox; Preference elicitation (search for similar items in EconPapers)
JEL-codes: C90 C91 D80 D81 D83 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (24)

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Related works:
Working Paper: Ambiguous Correlation (2018)
Working Paper: Ambiguous Correlation (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:86:y:2019:i:2:p:668-693.

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