When an Event Makes a Difference |
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Authors: | Massimiliano Amarante Fabio Maccheroni |
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Affiliation: | (1) Department of Economics, Columbia University, NY, USA;(2) Istituto di Metodi Quantitativi and IGIER, Università Bocconi, Milan, Italy |
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Abstract: | For (S, Σ) a measurable space, let and be convex, weak* closed sets of probability measures on Σ. We show that if ∪ satisfies the Lyapunov property , then there exists a set A ∈ Σ such that minμ1∈ μ1(A) > maxμ2 ∈ (A). We give applications to Maxmin Expected Utility (MEU) and to the core of a lower probability. |
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Keywords: | Lyapunov theorem Maximin expected utility lower probability |
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