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Reexamination on Updating Choquet Beliefs

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  • Mayumi Horie

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    (Institute of Economic Research, Kyoto University)

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    Abstract

    Eichberger, Grant, and Kelsey (2007) characterize the full Bayesian update rule for capacities. This paper shows that a conditional preference relation represented by the Choquet expected utility with respect to the updated capacity through the rule does not satisfy the axiom of Conditional Certainty Equivalence Consistency. A counterexample is provided and it is proved that a relaxation of the axiom maintains their results.

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    File URL: http://www.kier.kyoto-u.ac.jp/DP/DP643.pdf
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    Bibliographic Info

    Paper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 643.

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    Length: 7pages
    Date of creation: Nov 2007
    Date of revision:
    Handle: RePEc:kyo:wpaper:643

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    Keywords: Bayesian update; capacity; conditional preference; Choquet expected utility;

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    References

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    1. Ghirardato, Paolo & Marinacci, Massimo, 2000. "Risk, Ambigity and the Separation of Utility and Beliefs," Working Papers 1085, California Institute of Technology, Division of the Humanities and Social Sciences.
    2. Jurgen Eichberger & Simon Grant & David Kelsey, 2006. "Updating Choquet Beliefs," Discussion Papers 0607, Exeter University, Department of Economics.
    3. Cesaltina Pacheco Pires, 2002. "A Rule For Updating Ambiguous Beliefs," Theory and Decision, Springer, vol. 53(2), pages 137-152, September.
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    Cited by:
    1. Dominiak, Adam & Eichberger, J├╝rgen & Lefort, Jean-Philippe, 2012. "Agreeable trade with optimism and pessimism," Mathematical Social Sciences, Elsevier, vol. 64(2), pages 119-126.

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