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Linearity with Multiple Priors

Ghirardato, Paolo and Klibanoff, Peter and Marinacci, Massimo (1996) Linearity with Multiple Priors. Social Science Working Paper, 980. California Institute of Technology , Pasadena, CA. (Unpublished)

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We characterize the types of functions over which the functional defined as the "min" of integrals with respect to probabilities in a given non-empty closed and convex class is linear. This happens exactly when "integrating" functions which are positive affine transformations of each other (or when one is constant). We show that the result is quite general by restricting the types of classes of probabilities considered. Finally we prove that, with a very peculiar exception, all the results hold more generally for functionals which are linear combinations of the "min" and the "max" functional.

Item Type:Report or Paper (Working Paper)
Additional Information:Ghirardato is very grateful to CORE, Université Catholique de Louvain, for its hospitality during the period in which this paper was written.
Group:Social Science Working Papers
Series Name:Social Science Working Paper
Issue or Number:980
Classification Code:JEL: D81
Record Number:CaltechAUTHORS:20170815-161726115
Persistent URL:
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:80447
Deposited By: Jacquelyn Bussone
Deposited On:16 Aug 2017 16:45
Last Modified:03 Oct 2019 18:31

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