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Agreeable trade with pessimism and optimism

Lefort, Jean-Philippe; Dominiak, Adam; Eichberger, Jürgen (2012), Agreeable trade with pessimism and optimism, Mathematical social sciences, 64, 2, p. 119-126. 10.1016/j.mathsocsci.2012.03.006

Type
Article accepté pour publication ou publié
Date
2012
Journal name
Mathematical social sciences
Volume
64
Number
2
Publisher
Elsevier
Pages
119-126
Publication identifier
10.1016/j.mathsocsci.2012.03.006
Metadata
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Author(s)
Lefort, Jean-Philippe

Dominiak, Adam

Eichberger, Jürgen
Abstract (EN)
In this paper we extend the results on ex-ante agreeable trade of Kajii and Ui [Kajii, A., Ui, T., 2006. Agreeable bets with multiple priors. Journal of Economic Theory 128, 299–305] to the case of non-convex Choquet preferences. We discuss the economic relevance of the main result for the existence of speculative trade under ambiguity. Following Haller [Haller, H., 1990. Non-market reopening, time-consistent plans and the structure of intertemporal preferences. Economics Letters 32, 1–5] we also elaborate the relevance of updating preferences upon arrival of public information for the potential of re-contracting initial contingent claims.
Subjects / Keywords
Trade; Decision theory
JEL
D81 - Criteria for Decision-Making under Risk and Uncertainty
D51 - Exchange and Production Economies
G11 - Portfolio Choice; Investment Decisions

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