Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty
AbstractWe consider future cash flows that are contingent both on dates in time and on uncertain states. The decision maker (DM) values the cash flows according to its decision criterion: Here the payoffsâ expectation with respect to a capacity measure. The subjective measure grasps the DMâs behaviour in front of the future, in the spirit of de Finettiâs (1930) and of Yaariâs (1987) Dual Theory in the case of risk. Decomposition of the criterion into two criteria that represent the DMâs preferences on uncertain payoffs and time contingent payoffs are derived from Ghirardatoâs (1997) results. Conditional Choquet integrals are defined by dynamic consistency requirements and conditional capacities are derived, under some conditions on information. In contrast with other models referring to dynamic consistency, ours doesnât collapse into a linear one because it violates a weak version of consequentialism.
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Bibliographic InfoArticle provided by Springer in its journal Theory and Decision.
Volume (Year): 69 (2010)
Issue (Month): 1 (July)
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Web page: http://www.springerlink.com/link.asp?id=100341
Capacities; Comonotonicity; Conditional Choquet integrals; Conditional capacities; Discount factors; Information; Product spaces; Subjective measures; D 81; D 83; D 92; G 31;
Other versions of this item:
- Robert Kast & André Lapied, 2008. "Valuing future cash flows with non separable discount factors and non additive subjective measures: Conditional Choquet Capacities on Time and on Uncertainty," Working Papers 08-09, LAMETA, Universtiy of Montpellier, revised Jun 2008.
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