Updating Choquet valuation and discounting information arrivals
AbstractWe explore different possible definitions for conditional Choquet integrals and their implications for updating capacities. Many recent works consider relaxing dynamic consistency within Choquet Expected Utility models, but all of them deal with models where time is not explicitly introduced. We confront the different definitions with dynamic consistency when information arrives along with time through a Choquet version of the Net Present Value. We show that only one definition is dynamically consistent in a decision model where time is discounted according to the agent's preferences. However, it violates consequentialism because all future outcomes must be taken into consideration.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by LAMETA, Universtiy of Montpellier in its series Working Papers with number 05-09.
Length: 29 pages
Date of creation: Jan 2005
Date of revision: Jan 2005
Contact details of provider:
Postal: Avenue Raymond Dugrand, CS 79606, 34960 Montpellier Cedex 2
Web page: http://www.lameta.univ-montp1.fr/
More information through EDIRC
Other versions of this item:
- André Lapied & Robert Kast, 2009. "Updating Choquet valuation and discounting information arrivals," Working Papers halshs-00410532, HAL.
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.:
- De Waegenaere, Anja & Kast, Robert & Lapied, Andre, 2003. "Choquet pricing and equilibrium," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 359-370, July.
- 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.
- Machina, Mark J, 1989. "Dynamic Consistency and Non-expected Utility Models of Choice under Uncertainty," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1622-68, December.
- De Waegenaere, Anja & Wakker, Peter P., 2001. "Nonmonotonic Choquet integrals," Journal of Mathematical Economics, Elsevier, vol. 36(1), pages 45-60, September.
- Cohen, M. & Gilboa, I. & Jaffray, J.Y. & Schmeidler, D., 2000. "An experimental study of updating ambiguous beliefs," Risk, Decision and Policy, Cambridge University Press, vol. 5(02), pages 123-133, June.
- Schmeidler, David, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Econometric Society, vol. 57(3), pages 571-87, May.
- David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
- Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
- Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
- Jaffray, J.Y., 1992.
"Dynamic Decision Making with belief Functions,"
Papiers d'Economie MathÃÂ©matique et Applications
92.63, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1).
- Jaffray, J.Y., 1992. "Dynamic Decision Making with Belief Functions," Papiers d'Economie MathÃÂ©matique et Applications 92-15, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1).
- Kreps, David M & Porteus, Evan L, 1978.
"Temporal Resolution of Uncertainty and Dynamic Choice Theory,"
Econometric Society, vol. 46(1), pages 185-200, January.
- David M Kreps & Evan L Porteus, 1978. "Temporal Resolution of Uncertainty and Dynamic Choice Theory," Levine's Working Paper Archive 625018000000000009, David K. Levine.
- Lehrer, Ehud, 2005.
"Updating non-additive probabilities-- a geometric approach,"
Games and Economic Behavior,
Elsevier, vol. 50(1), pages 42-57, January.
- Ehud Lehrer, 2004. "Updating Non-Additive Probabilities -- A Geometric Approach," Game Theory and Information 0405010, EconWPA.
- Sarin, Rakesh & Wakker, Peter P, 1998. "Dynamic Choice and NonExpected Utility," Journal of Risk and Uncertainty, Springer, vol. 17(2), pages 87-119, November.
- Karni, Edi & Schmeidler, David, 1991.
"Atemporal dynamic consistency and expected utility theory,"
Journal of Economic Theory,
Elsevier, vol. 54(2), pages 401-408, August.
- Schmeidler, D. & Karni, E., 1990. "A Temporal Dynamic Consistency And Expected Utility Theory," Papers 39-90, Tel Aviv.
- Eichberger, Jurgen & Grant, Simon & Kelsey, David, 2005.
"CEU preferences and dynamic consistency,"
Mathematical Social Sciences,
Elsevier, vol. 49(2), pages 143-151, March.
- Wakker, Peter, 1989. "Continuous subjective expected utility with non-additive probabilities," Journal of Mathematical Economics, Elsevier, vol. 18(1), pages 1-27, February.
- Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
- Epstein Larry G. & Le Breton Michel, 1993. "Dynamically Consistent Beliefs Must Be Bayesian," Journal of Economic Theory, Elsevier, vol. 61(1), pages 1-22, October.
- Chateauneuf, Alain & Rebille, Yann, 2004. "Some characterizations of non-additive multi-period models," Mathematical Social Sciences, Elsevier, vol. 48(3), pages 235-250, November.
- Jonathan Shalev, 1994.
"Loss Aversion in a Multi-Period Model,"
Game Theory and Information
9407001, EconWPA, revised 18 Mar 1997.
- Gilboa Itzhak & Schmeidler David, 1993.
"Updating Ambiguous Beliefs,"
Journal of Economic Theory,
Elsevier, vol. 59(1), pages 33-49, February.
- Gilboa, Itzhak, 1989. "Expectation and Variation in Multi-period Decisions," Econometrica, Econometric Society, vol. 57(5), pages 1153-69, September.
- Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
- Jurgen Eichberger & Simon Grant & David Kelsey, 2006.
"Updating Choquet Beliefs,"
0607, Exeter University, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Patricia Modat).
If references are entirely missing, you can add them using this form.