IDEAS home Printed from https://ideas.repec.org/a/kap/theord/v69y2010i1p27-53.html
   My bibliography  Save this article

Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty

Author

Listed:
  • Robert Kast

    ()

  • André Lapied

    ()

Abstract

We consider future cash flows that are contingent both on dates in time and on uncertain states. The decision maker (DM) values the cash flows according to its decision criterion: Here the payoffs’ expectation with respect to a capacity measure. The subjective measure grasps the DM’s behaviour in front of the future, in the spirit of de Finetti’s (1930) and of Yaari’s (1987) Dual Theory in the case of risk. Decomposition of the criterion into two criteria that represent the DM’s preferences on uncertain payoffs and time contingent payoffs are derived from Ghirardato’s (1997) results. Conditional Choquet integrals are defined by dynamic consistency requirements and conditional capacities are derived, under some conditions on information. In contrast with other models referring to dynamic consistency, ours doesn’t collapse into a linear one because it violates a weak version of consequentialism.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Robert Kast & André Lapied, 2010. "Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty," Theory and Decision, Springer, vol. 69(1), pages 27-53, July.
  • Handle: RePEc:kap:theord:v:69:y:2010:i:1:p:27-53
    DOI: 10.1007/s11238-008-9107-1
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s11238-008-9107-1
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Gilboa Itzhak & Schmeidler David, 1993. "Updating Ambiguous Beliefs," Journal of Economic Theory, Elsevier, vol. 59(1), pages 33-49, February.
    2. Chateauneuf, Alain & Rebille, Yann, 2004. "Some characterizations of non-additive multi-period models," Mathematical Social Sciences, Elsevier, vol. 48(3), pages 235-250, November.
    3. Robert Kast & André Lapied & Pascal Toquebeuf, 2008. "Updating Choquet Integrals , Consequentialism and Dynamic Consistency," ICER Working Papers - Applied Mathematics Series 04-2008, ICER - International Centre for Economic Research.
    4. Karni, Edi & Schmeidler, David, 1991. "Atemporal dynamic consistency and expected utility theory," Journal of Economic Theory, Elsevier, vol. 54(2), pages 401-408, August.
    5. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    6. Ghirardato, Paolo, 1997. "On Independence for Non-Additive Measures, with a Fubini Theorem," Journal of Economic Theory, Elsevier, vol. 73(2), pages 261-291, April.
    7. André Lapied & Pascal Tocquebeuf, 2007. "Consistent Dynamice Choice And Non-Expected Utility Preferences," Working Papers halshs-00353880, HAL.
    8. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
    9. Machina, Mark J, 1989. "Dynamic Consistency and Non-expected Utility Models of Choice under Uncertainty," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1622-1668, December.
    10. Robert Kast & André Lapied, 2007. "Dynamically Consistent Conditional Choquet Capacities," ICER Working Papers - Applied Mathematics Series 20-2007, ICER - International Centre for Economic Research.
    11. repec:hal:wpaper:hal-00416214_v1 is not listed on IDEAS
    12. Diecidue, Enrico & Wakker, Peter P., 2002. "Dutch books: avoiding strategic and dynamic complications, and a comonotonic extension," Mathematical Social Sciences, Elsevier, vol. 43(2), pages 135-149, March.
    13. Hammond, Peter J, 1989. "Consistent Plans, Consequentialism, and Expected Utility," Econometrica, Econometric Society, vol. 57(6), pages 1445-1449, November.
    14. Paolo Ghirardato, 2002. "Revisiting Savage in a conditional world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 20(1), pages 83-92.
    15. Alain Chateauneuf & Robert Kast & André Lapied, 2001. "Conditioning Capacities and Choquet Integrals: The Role of Comonotony," Theory and Decision, Springer, vol. 51(2), pages 367-386, December.
    16. Sarin, Rakesh & Wakker, Peter P, 1998. "Dynamic Choice and NonExpected Utility," Journal of Risk and Uncertainty, Springer, vol. 17(2), pages 87-119, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kast, Robert & Lapied, André & Roubaud, David, 2014. "Modelling under ambiguity with dynamically consistent Choquet random walks and Choquet–Brownian motions," Economic Modelling, Elsevier, vol. 38(C), pages 495-503.
    2. repec:kap:theord:v:83:y:2017:i:4:d:10.1007_s11238-017-9632-x is not listed on IDEAS
    3. André Lapied & Robert Kast, 2010. "Dynamically consistent Choquet random walk and real investments," Working Papers 10-21, LAMETA, Universtiy of Montpellier, revised 2010.
    4. repec:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2079-y is not listed on IDEAS

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:theord:v:69:y:2010:i:1:p:27-53. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.