Asymmetric Information, Nonadditive Expected Utility, and the Information Revealed by Prices: An Example

Jean-Marc Tallon (1)

1 M.A.D.

I develop a simple example of a model in which agents have asymmetric information, and preferences that are represented by a nonadditive expected utility function. The a priori uninformed agent, after observing the equilibrium price, has conditional beliefs that remain nonadditive. Then, even when the equilibrium price function is fully revealing (i.e., one-to-one), it may be worth-while for an a priori uninformed agent to buy `redundant' private information if he is more confident in that information than in that revealed by the price system.

Mots clés: Nonadditive Expected Utility

Domaines: Economies et finances

Jean-Marc Tallon. Asymmetric Information, Nonadditive Expected Utility, and the Information Revealed by Prices: An Example. International Economic Review, 1998, 39 (2), pp.329-342. ⟨halshs-00502491⟩