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Ambiguous Correlation

Larry Epstein () and Yoram Halevy () working papers from Vancouver School of Economics

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 behavior 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; uncertainty; correlation; Ellsberg (search for similar items in EconPapers)
JEL-codes: C90 D80 C91 D83 D81 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-upt
Date: 2017-02-15, Revised 2018-01-09
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