Updating Choquet Integrals , Consequentialism and Dynamic Consistency
AbstractChoquet capacities have been used to represent decision makers’ beliefs in order to generalise the expected utility approach. Conditional capacities have to be defined for dynamic choice situations where information may modify the decision maker future beliefs. Several updating rules have been proposed in the literature. We derive them from a general approach based on conditional Choquet expectations. Conversely, depending on the updating rule adopted, the conditional Choquet integral can take different values. Conditional Choquet Expected Utility are derived from axioms on preferences. However, it is now well-known in decision theory that if preferences satisfy simultaneously dynamic consistency and consequentialism axioms their representation is restricted to classical Expected Utility. We show that the rule proposed by Chateauneuf, Kast and Lapied (2001) is the only one to satisfy dynamic consistency with a nonnecessary additive capacity
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Bibliographic InfoPaper provided by ICER - International Centre for Economic Research in its series ICER Working Papers - Applied Mathematics Series with number 04-2008.
Length: 25 pages
Date of creation: Jun 2008
Date of revision:
Conditional Choquet expectation; Conditional capacity; Updating rules; Choquet Expected Utility; Dynamic consistency; Consequentialism.;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
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