This paper provides a set-theoretic model of knowledge and unawareness. A new property called Awareness Leads to Knowledge shows that unawareness of theorems not only constrains an agent's knowledge, but also, can impair his reasoning about what other agents know. For example, in contrast to Li...

Ambiguity sensitive preferences must fail either Consequentialism or Dynamic Consistency (DC), two properties that are compatible with subjective expected utility and Bayesian updating, while forming the basis of backward induction and dynamic programming. We examine the connection between these...

We study information aggregation in a dynamic trading model with partially informed and ambiguity averse traders. We show theoretically that separable securities, introduced by Ostrovsky (2012) in the context of Subjective Expected Utility, no longer aggregate information if some traders have...

The value of information is examined in a single-agent environment with unawareness. Al though the agent has a correct prior about events he is aware of and has a clear understanding of his available actions and payoffs, his unawareness may lead him to commit information processing errors and to...

“No trade” theorems establish that, in various trading environments, investors who share a common prior will not engage in speculation, as long as expected utility, Bayesian updating and full awareness are imposed. We relax the last assumption by allowing for asymmetric unawareness and...