Ambiguous correlation
Files
Accepted manuscript
Date
DOI
Authors
Epstein, Larry G.
Halevy, Yoram
Version
OA Version
Citation
LG Epstein, Yoram Halevy. "Ambiguous Correlation." Review of Economic Studies,
Abstract
Many decisions are made in environments where outcomes are determined by the realization of multiple random events. A decision
maker may be uncertain how these events are related. We identify and experimentally substantiate behavior that intuitively reflects a lack of confidence in their joint distribution. Our findings suggest a dimension of ambiguity which is different from that in the classical distinction between risk and "Knightian uncertainty".