Agreeable trade with optimism and pessimism

In this paper we extend the results on ex-ante agreeable trade of Kajii and Ui [Kajii, A., Ui, T., 2006. Agreeable bets with multiple priors. Journal of Economic Theory 128, 299–305] to the case of non-convex Choquet preferences. We discuss the economic relevance of the main result for the existence of speculative trade under ambiguity. Following Haller [Haller, H., 1990. Non-market reopening, time-consistent plans and the structure of intertemporal preferences. Economics Letters 32, 1–5] we also elaborate the relevance of updating preferences upon arrival of public information for the potential of re-contracting initial contingent claims.

► It is shown that both optimism and pessimism are important for speculative trade.
► We assumed that traders have not-necessary convex Choquet preferences.
► Necessary and sufficient conditions for ex ante agreeable trade are provided.
► The role of updating non-additive beliefs in face of public information is elaborated.
► Under the Full-Bayesian updating rule there will be no interim agreeable trade.