Crisp Fair Gambles

Eric André (1)

1 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille

Axiomatic models of decision under ambiguity with a non-unique prior allow for the existence of Crisp Fair Gambles: acts whose expected utility is nul whichever of the priors is used. But, in these models, the DM has to be indifferent to the addition of such acts. Their existence is then at odds with a preference taking into account the variance of the prospects. In this paper we study some geometrical and topological properties of the set of priors that would rule out the existence of Crisp Fair Gambles, properties which have consequences on what can be an unambiguous financial asset.

Mots clés: monotone mean-variance preferences; ambiguity; set of priors; crisp acts; unambiguous asset

Domaines: Economies et finances

Eric André. Crisp Fair Gambles. 2014. ⟨halshs-00984352⟩