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Objective rationality and recursive multiple priors

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  • Ceron, Federica
  • Vergopoulos, Vassili

Abstract

We provide an axiomatic characterization of recursive MaxMin preferences that stem from a (possibly) incomplete relation representing preference judgements that are justified by objective probabilistic information. To ensure that her choice behavior be informed by objective information, dynamically consistent, and ambiguity averse, the decision-maker evaluates alternatives by their minimal expected value over the rectangular hull of the objective information set. The characterization builds upon two axioms that naturally combine the three requirements in a behavioral way. Our main result suggests a principled justification for the use of recursive MaxMin preferences in applications to dynamic choice problems.

Suggested Citation

  • Ceron, Federica & Vergopoulos, Vassili, 2022. "Objective rationality and recursive multiple priors," Journal of Mathematical Economics, Elsevier, vol. 102(C).
    • Handle: RePEc:eee:mateco:v:102:y:2022:i:c:s030440682200088x
    DOI: 10.1016/j.jmateco.2022.102761
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