Comment on Ellsberg's two-color experiment, portfolio inertia and ambiguity

The final step in the proof of Proposition 1 (p.311) of Mukerji and Tallon (2003) may not hold in generalbecause $\varepsilon>0$ in the proof cannot be chosen independently of $w,z$. We point out by a counterexample that the axioms they impose are too weak for Proposition 1. We introduce a modified set of axioms and re-establish the proposition

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Year of publication:	2008-09
Authors:	Higashi, Youichiro ; Mukerji, Sujoy ; Takeoka, Norio ; Tallon, Jean-Marc
Institutions:	HAL
Subject:	ambiguity \| bid ask spread \| Ellsberg paradox

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00175266 Published, International Journal of Economic Theory, 2008, 4, 3, 433-444
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010750607