Stuart_Armstrong comments on The Ellsberg paradox and money pumps - Less Wrong
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I wonder if you can express your result in a simpler fashion... Model your agent as a combination of a buying agent and a selling agent. The buying agent will always pay less than a Bayesian, the selling agent will always sell for more. Hence (a bit of hand waving here) the combined agent will never lose money to a money pump. The problem is that it won't pick up 'free' money.