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.
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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
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Other versions of this item:
- André Lapied & Robert Kast, 2009. "Updating Choquet valuation and discounting information arrivals," Working Papers halshs-00410532, HAL.
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