A note on "Re-examining the law of iterated expectations for Choquet decision makers"
AbstractThis note completes the main result of [Zimper A., (2010) Re-examining the law of iterated expectations for Choquet decision makers. Theory and decision, DOI 10.1007/s11238-010-9221-8], 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; (d!)] = E[E[f(!i;j); (Ai;jjAi)]; (Ai)]; is valid only when the act f is comonotonic with its dynamic form, that we name "conditional certainty equivalent act".
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Date of creation: 04 Dec 2011
Date of revision:
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Choquet; Capacities; Updating; Law of iterated expectations;
Other versions of this item:
- André Lapied & Pascal Toquebeuf, 2013. "A note on “Re-examining the law of iterated expectations for Choquet decision makers”," Theory and Decision, Springer, vol. 74(3), pages 439-445, March.
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Revealed Likelihood and Knightian Uncertainty,"
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- André Lapied & Pascal Toquebeuf, 2010. "Atemporal non-expected utility preferences, dynamic consistency and consequentialism," Economics Bulletin, AccessEcon, vol. 30(2), pages 1661-1669.
- Epstein, Larry G. & Schneider, Martin, 2003.
Journal of Economic Theory,
Elsevier, vol. 113(1), pages 1-31, November.
- Alain Chateauneuf & Robert Kast & AndrÃ© Lapied, 2001. "Conditioning Capacities and Choquet Integrals: The Role of Comonotony," Theory and Decision, Springer, vol. 51(2), pages 367-386, December.
- Nobuo Koida, 2012. "Nest-monotonic two-stage acts and exponential probability capacities," Economic Theory, Springer, vol. 50(1), pages 99-124, May.
- 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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