A note on “Re-examining the law of iterated expectations for Choquet decision makers”
AbstractThis note completes the main result of Zimper (Theory and decision, doi: 10.1007/s11238-010-9221-8 , 2010 ), by showing that additional conditions are needed in order the law of iterated expectations to hold true for Choquet decision makers. Due to the comonotonic additivity of Choquet expectations, the equation E[f, ν(dω)]=E[E[f(ω i, j ), ν(A i, j |A i )], ν(A i )], is valid only when the act f is comonotonic with its dynamic form, that we name “conditional certainty equivalent act”. Copyright Springer Science+Business Media New York 2013
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Bibliographic InfoArticle provided by Springer in its journal Theory and Decision.
Volume (Year): 74 (2013)
Issue (Month): 3 (March)
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Web page: http://www.springerlink.com/link.asp?id=100341
Choquet; Capacities; Updating; Law of iterated expectations; D81;
Other versions of this item:
- André Lapied & Pascal Toquebeuf, 2011. "A note on "Re-examining the law of iterated expectations for Choquet decision makers"," Working Papers halshs-00856184, HAL.
- Andre Lapied & Pascal Toquebeuf, 2012. "A note on "Re-examining the law of iterated expectations for Choquet decision makers"," TEPP Working Paper 2012-09, TEPP.
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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