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Sharing beliefs and the absence of betting in the Choquet expected utility model

Author

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  • Antoine Billot
  • Alain Chateauneuf
  • Itzhak Gilboa
  • Jean-Marc Tallou

Abstract

Choquet expected utility maximizers tend to behave in a more "cautious" way than Bayesian agents, i.e. expected utility maximizers. We illustrate this phenomenon in the particular case of betting behavior. Specifically, consider agents who are Choquet expected utility maximizers. Then, if the economy is large, Pareto optimal allocations provide full insurance if and only if the agents share at least one prior, i.e., if the intersection of the core of the capacities representing their beliefs is non empty. In the expected utility case, this is true only if they have a common prior.
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Suggested Citation

  • Antoine Billot & Alain Chateauneuf & Itzhak Gilboa & Jean-Marc Tallou, 2002. "Sharing beliefs and the absence of betting in the Choquet expected utility model," Statistical Papers, Springer, vol. 43(1), pages 127-136, January.
    • Handle: RePEc:spr:stpapr:v:43:y:2002:i:1:p:127-136
    DOI: 10.1007/s00362-001-0090-7
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    Cited by:

    1. Kajii, Atsushi & Ui, Takashi, 2006. "Agreeable bets with multiple priors," Journal of Economic Theory, Elsevier, vol. 128(1), pages 299-305, May.
    2. Mario Ghossoub & Giulio Principi & Ruodu Wang, 2024. "Allocation Mechanisms in Decentralized Exchange Markets with Frictions," Papers 2404.10900, arXiv.org.
    3. Galanis, Spyros, 2018. "Speculation under unawareness," Games and Economic Behavior, Elsevier, vol. 109(C), pages 598-615.
    4. Zimper, Alexander, 2009. "Half empty, half full and why we can agree to disagree forever," Journal of Economic Behavior & Organization, Elsevier, vol. 71(2), pages 283-299, August.
    5. Lo, Kin Chung, 2007. "Sharing beliefs about actions," Mathematical Social Sciences, Elsevier, vol. 53(2), pages 123-133, March.
    6. Ghirardato, Paolo & Siniscalchi, Marciano, 2018. "Risk sharing in the small and in the large," Journal of Economic Theory, Elsevier, vol. 175(C), pages 730-765.
    7. Galanis, Spyros, 2018. "Financial complexity and trade," Games and Economic Behavior, Elsevier, vol. 112(C), pages 219-230.

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