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, . "A note on "Re-examining the law of iterated expectations for Choquet decision makers"," Papers 2012-09, TEPP Working Papers.
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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- Nobuo Koida, 2012. "Nest-monotonic two-stage acts and exponential probability capacities," Economic Theory, Springer, vol. 50(1), pages 99-124, May.
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1996-59, Tilburg University, Center for Economic Research.
- André Lapied & Pascal Toquebeuf, 2010. "Atemporal non-expected utility preferences, dynamic consistency and consequentialism," Economics Bulletin, AccessEcon, vol. 30(2), pages 1661-1669.
- Alexander Zimper, 2011. "Re-examining the law of iterated expectations for Choquet decision makers," Theory and Decision, Springer, vol. 71(4), pages 669-677, October.
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