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Unambiguous events and dynamic Choquet preferences

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  • Adam Dominiak

    ()

  • Jean-Philippe Lefort

    ()

Abstract

This paper explores the relationship between dynamic consistency and the existing notions of unambiguous events for Choquet expected utility preferences. A decision maker is faced with an information structure represented by a filtration. We show that the decision maker's preferences respect dynamic consistency on a fixed filtration if and only if the last stage of the filtration is composed of unambiguous events in the sense of Nehring (1999). Adopting two axioms, conditional certainty equivalence consistency and constrained dynamic consistency to filtration measurable acts, it is shown that the decision maker respects these two axioms on a fixed filtration if and only if the last stage of the filtration is made up of unambiguous events the sense of Zhang (2002).

(This abstract was borrowed from another version of this item.)

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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 46 (2011)
Issue (Month): 3 (April)
Pages: 401-425

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Handle: RePEc:spr:joecth:v:46:y:2011:i:3:p:401-425

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Related research

Keywords: Choquet expected utility; Unambiguous events; Filtration; Updating; Dynamic consistency; Consequentialism; D81; D82;

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References

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  1. Eichberger, Jurgen & Grant, Simon & Kelsey, David, 2005. "CEU preferences and dynamic consistency," Mathematical Social Sciences, Elsevier, vol. 49(2), pages 143-151, March.
  2. Gilboa Itzhak & Schmeidler David, 1993. "Updating Ambiguous Beliefs," Journal of Economic Theory, Elsevier, vol. 59(1), pages 33-49, February.
  3. Jiankang Zhang, 2002. "Subjective ambiguity, expected utility and Choquet expected utility," Economic Theory, Springer, vol. 20(1), pages 159-181.
  4. Hong Chew Soo & Karni Edi, 1994. "Choquet Expected Utility with a Finite State Space: Commutativity and Act-Independence," Journal of Economic Theory, Elsevier, vol. 62(2), pages 469-479, April.
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  7. Siniscalchi, Marciano, 2011. "Dynamic choice under ambiguity," Theoretical Economics, Econometric Society, vol. 6(3), September.
  8. Klaus Nehring, . "Capacities And Probabilistic Beliefs: A Precarious Coexistence," Department of Economics 97-08, California Davis - Department of Economics.
  9. Kopylov, Igor, 2007. "Subjective probabilities on "small" domains," Journal of Economic Theory, Elsevier, vol. 133(1), pages 236-265, March.
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  13. Eichberger, Jürgen & Grant, Simon & Lefort, Jean-Philippe, 2009. "Neo-additive capacities and updating," Working Papers 0490, University of Heidelberg, Department of Economics.
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  18. Epstein, L.G. & Zhang, J., 1998. "Subjective Probabilities on Subjectivity Unambiguous Event," RCER Working Papers 456, University of Rochester - Center for Economic Research (RCER).
  19. Dominiak, Adam & Dürsch, Peter & Lefort, Jean-Philippe, 2009. "A Dynamic Ellsberg Urn Experiment," Working Papers 0487, University of Heidelberg, Department of Economics.
  20. Nakamura, Yutaka, 1990. "Subjective expected utility with non-additive probabilities on finite state spaces," Journal of Economic Theory, Elsevier, vol. 51(2), pages 346-366, August.
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Citations

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Cited by:
  1. Andre Lapied & Pascal Toquebeuf, 2012. "Dynamically consistent CEU preferences," TEPP Working Paper 2012-10, TEPP.
  2. Jürgen Eichberger & Simon Grant & David Kelsey, 2012. "When is ambiguity–attitude constant?," Journal of Risk and Uncertainty, Springer, vol. 45(3), pages 239-263, December.
  3. André Lapied & Pascal Tocquebeuf, 2007. "Consistent Dynamice Choice And Non-Expected Utility Preferences," Working Papers halshs-00353880, HAL.
  4. Lapied, André & Toquebeuf, Pascal, 2012. "Dynamically consistent CEU preferences on f-convex events," Mathematical Social Sciences, Elsevier, vol. 63(3), pages 252-256.
  5. Dominiak, Adam, 2013. "Iterated Choquet expectations: A possibility result," Economics Letters, Elsevier, vol. 120(2), pages 155-159.

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