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A note on “Re-examining the law of iterated expectations for Choquet decision makers”

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  • André Lapied
  • Pascal Toquebeuf

    ()

Abstract

This 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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File URL: http://hdl.handle.net/10.1007/s11238-012-9297-4
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Bibliographic Info

Article provided by Springer in its journal Theory and Decision.

Volume (Year): 74 (2013)
Issue (Month): 3 (March)
Pages: 439-445

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Handle: RePEc:kap:theord:v:74:y:2013:i:3:p:439-445

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Web page: http://www.springerlink.com/link.asp?id=100341

Related research

Keywords: Choquet; Capacities; Updating; Law of iterated expectations; D81;

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References

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  1. Larry G. Epstein & Martin Schneider, 2001. "Recursive Multiple-Priors," RCER Working Papers 485, University of Rochester - Center for Economic Research (RCER).
  2. Sarin, Rakesh & Wakker, Peter P, 1998. "Revealed Likelihood and Knightian Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 16(3), pages 223-50, July-Aug..
  3. André Lapied & Pascal Toquebeuf, 2010. "Atemporal non-expected utility preferences, dynamic consistency and consequentialism," Economics Bulletin, AccessEcon, vol. 30(2), pages 1661-1669.
  4. 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.
  5. Alain Chateauneuf & Robert Kast & André Lapied, 2001. "Conditioning Capacities and Choquet Integrals: The Role of Comonotony," Theory and Decision, Springer, vol. 51(2), pages 367-386, December.
  6. 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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Cited by:
  1. Andre Lapied & Pascal Toquebeuf, 2012. "Dynamically consistent CEU preferences," TEPP Working Paper 2012-10, TEPP.

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