A Simple Axiomatization of Iterated Choquet Objectives
AbstractA set of axioms which characterizes a preference representable by the iterated Choquet expected utility is presented. This objective function is attractive since it possesses a feature of dynamical consistency. Furthermore,we show that under the same axioms the conditional preference is represented by the Choquet expected utility with respect to the capacity which is updated according to the Dempster-Shafer rule. We do this by weakening Schmeidler's axiom of comonotonic independence to our axiom of constrained comonotonic independence and by adding the axiom of dynamical consistency.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-219.
Length: 20 pages
Date of creation: May 2003
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-05-15 (All new papers)
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