Working Paper N. 677 June 2013
Marcello Basili
DEPS, University of Siena
Luca Pratelli
Naval Academy of Livorno
Abstract
We consider an aggregation scheme of opinions expressed through different probability distributions or multiple priors decision model. The decision-maker adopts entropy maximization as a measure of risk diversification and a rational form of prudence for valuing uncertain outcomes. We show a new aggregation rule formalization based on the idea that the decision-maker has a more reliable set of outcomes called ordinary and two fat tails that include more ambiguous and extreme events
Keywords
Ambiguity, Aggregation, Entropy, Multiple Priors, Quantiles
JEL classification
D81
