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Iterated Choquet expectations: A possibility result

  • Dominiak, Adam
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    Contrary to Yoo’s (1991) [Yoo, K.-R., 1991. The iterative law of expectation and non-additive probability measure. Economics Letters 37, 145–149] result, it is shown that the law of iterated expectations can be maintained in the class of Choquet expected utility preferences, even though beliefs are non-additive. Choquet integrals satisfy the law of iterated expectations on a fixed partition if and only if the unconditional capacity is additively separable among the events forming that partition, and the conditional capacity is derived by applying Bayes’ rule.

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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 120 (2013)
    Issue (Month): 2 ()
    Pages: 155-159

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    Handle: RePEc:eee:ecolet:v:120:y:2013:i:2:p:155-159
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