AbstractThis paper axiomatizes an intertemporal version of multiple-ptiors utility. A central axiom is dynamic consistency, which leads to a recursive structure for utility, to 'rectangular' sets of priors and to prior-by-prior Bayesian updating as the updating rule for such sets of priors. It is argued that dynamic consitency is intuitive in a wide range of situations and that the model is consistent with a rich set of possibilities for dynamic behavior under ambiguity.
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Bibliographic InfoPaper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 485.
Length: 41 pages
Date of creation: Aug 2001
Date of revision:
Contact details of provider:
Postal: University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.
ambiguity; updating; recursive utility; dynamic consistency; multiple-priors; Bayesian updating; robust decision-making; model uncertainty;
Other versions of this item:
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D90 - Microeconomics - - Intertemporal Choice and Growth - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-10-09 (All new papers)
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