ASYMMETRIC INFORMATION, NONADDITIVE EXPECTED UTILITY, AND THE INFORMATION REVEALED BY PRICES - AN EXAMPLE

I develop a simple example of a model in which agents have asymmetric information, and preferences that are represented by a nonadditive exp ected utility function. The a priori uninformed agent, after observing the equilibrium price, has conditional beliefs that remain nonadditiv e. Then, even when the equilibrium price function is fully revealing ( i.e., one-to-one), it may be worthwhile for an a priori uninformed age nt to buy 'redundant' private information if he is more confident in t hat information than in that revealed by the price system.