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Crisp Fair Gambles

Eric André

Working Papers from HAL

Abstract: Axiomatic models of decision under ambiguity with a non-unique prior allow for the existence of Crisp Fair Gambles: acts whose expected utility is nul whichever of the priors is used. But, in these models, the DM has to be indifferent to the addition of such acts. Their existence is then at odds with a preference taking into account the variance of the prospects. In this paper we study some geometrical and topological properties of the set of priors that would rule out the existence of Crisp Fair Gambles, properties which have consequences on what can be an unambiguous financial asset.

Keywords: set of priors; ambiguity; monotone mean-variance preferences; crisp acts; unambiguous asset (search for similar items in EconPapers)
Date: 2014-03
New Economics Papers: this item is included in nep-mic and nep-upt
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