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Urn A:
10 red balls
10 black balls
Urn B:
unknown fraction ofred and black balls
Ellsberg defended a preference for Urn A
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0.12 0.1 0.08 0.06 0.04 0.02 00
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
0.45
0.5
p()
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5 10 15 20 25 30 35 40 45 500
0.1
0.2
0.3
0.4
transitory d2
tpart
5 10 15 20 25 30 35 40 45 500
0.1
0.2
0.3
0.4
permanent d1
tpart
5 10 15 20 25 30 35 40 45 500
0.1
0.2
0.3
0.4
dt
1975 1980 1985 1990 19951.5
1
0.5
0
0.5
1
1.5 Individual Components of the endowment processes
persistent componenttransitory component
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1975 1980 1985 1990 19951.5
1
0.5
0
0.5
1
1.5Individual Components of the filtered processes
persistent componenttransitory component
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1955 1960 1965 1970 1975 1980 1985 1990 1995 20004.2
4.1
4
3.9
3.8
3.7Log Technology Shock Process
1955 1960 1965 1970 1975 1980 1985 1990 1995 20000
0.2
0.4
0.6
0.8
1
Estimated Probability in Low State
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0.09 0.08 0.07 0.06 0.05 0.04 0.03 0.02 0.01 04
3.8
3.6
3.4
3.2
3
2.8
2.6
2.4
= 0
= .04
= .085
value
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0 1 2 30
1
2
3
4
5
6
7
8
9
10
=
= 10
= 5
0 1 2 30
1
2
3
4
5
6
7
8
9
10
=
= 10
= 5
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0 1 2 3 4 5 6 7 80
0.2
0.4
0.6
0.8
1
response to t
0 1 2 3 4 5 6 7 8
0.2
0.1
0
0.1
0.2
response to t
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0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.50
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
FourPeriodMarketPriceofKnightianUncertainty
Detection Error Probability
HST
HSWBenchmark
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