Agreeable trade with pessimism and optimism

Lefort, Jean-Philippe; Dominiak, Adam; Eichberger, Jürgen

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

Number

Publisher

Elsevier

Pages

119-126

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