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

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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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Authors and Affiliations

  1. CERAS-ENPC, Institut Universitaire de France, and Université Paris II, 92, rue d’Assas, 75006, Paris, France

    Antoine Billot

  2. CERMSEM, Université Paris I, 106-112, Bld de l’Hôpital, 75647, Paris, Cedex 13, France

    Alain Chateauneuf

  3. Eitan Berglas School of Economics and Recanati School of Business, Tel-Aviv University, 69978, Tel Aviv, Israel

    Itzhak Gilboa

  4. CNRS-EUREQua, 106-112, Bid de l’Hôpital, 75647, Paris, Cedex 13, France

    Jean-Marc Tallou

Authors
  1. Antoine Billot
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  2. Alain Chateauneuf
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  3. Itzhak Gilboa
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  4. Jean-Marc Tallou
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Corresponding authors

Correspondence to Antoine Billot, Alain Chateauneuf, Itzhak Gilboa or Jean-Marc Tallou.

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We thank a referee for useful remarks.

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Billot, A., Chateauneuf, A., Gilboa, I. et al. Sharing beliefs and the absence of betting in the Choquet expected utility model. Statistical Papers 43, 127–136 (2002). https://doi.org/10.1007/s00362-001-0090-7

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  • DOI: https://doi.org/10.1007/s00362-001-0090-7

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