Maccheroni, Marinacci, and Rustichini (2006), in an Anscombe–Aumann framework, axiomatically characterize preferences that are represented by the variational utility functional V(f)=minp∈Δ{∫u(f)dp+c(p)}∀f∈F, where u is a utility function on outcomes and c  is an index of...

Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of traders is large enough compared to the number of the states of the world that determine the return...