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When an Event Makes a Difference

Authors:	Massimiliano Amarante Fabio Maccheroni

Institution:	(1) Department of Economics, Columbia University, NY, USA;(2) Istituto di Metodi Quantitativi and IGIER, Università Bocconi, Milan, Italy

Abstract:	For (S, Σ) a measurable space, let ${\cal C}_1$ and ${\cal C}_2$ be convex, weak^* closed sets of probability measures on Σ. We show that if ${\cal C}_1$ ∪ ${\cal C}_2$ satisfies the Lyapunov property , then there exists a set A ∈ Σ such that min_μ1∈ ${\cal C}_1$ μ₁(A) > max_μ2 ∈ ${\cal C}_2$ (A). We give applications to Maxmin Expected Utility (MEU) and to the core of a lower probability.

Keywords:	Lyapunov theorem Maximin expected utility lower probability
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