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CEU preferences and dynamic consistency

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  • Eichberger, Jurgen
  • Grant, Simon
  • Kelsey, David

Abstract

This paper investigates the dynamic consistency of CEU preferences. A decision maker is faced with an information structure represented by a fixed filtration. If beliefs are represented by a convex capacity, we show that a necessary and sufficient condition for dynamic consistency is that beliefs be additive over the final stage in the filtration.
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Suggested Citation

  • Eichberger, Jurgen & Grant, Simon & Kelsey, David, 2005. "CEU preferences and dynamic consistency," Mathematical Social Sciences, Elsevier, vol. 49(2), pages 143-151, March.
    • Handle: RePEc:eee:matsoc:v:49:y:2005:i:2:p:143-151
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    1. Green, Jerry, 1987. ""Making book against oneself," the Independence Axiom, and Nonlinear Utility Theory," Scholarly Articles 3203640, Harvard University Department of Economics.
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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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