A note on “Re-examining the law of iterated expectations for Choquet decision makers”
This note completes the main result of Zimper (Theory and decision, doi: 10.1007/s11238-010-9221-8 , 2010 ), by showing that additional conditions are needed in order the law of iterated expectations to hold true for Choquet decision makers. Due to the comonotonic additivity of Choquet expectations, the equation E[f, ν(dω)]=E[E[f(ω i, j ), ν(A i, j |A i )], ν(A i )], is valid only when the act f is comonotonic with its dynamic form, that we name “conditional certainty equivalent act”. Copyright Springer Science+Business Media New York 2013
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 74 (2013)
Issue (Month): 3 (March)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/economic+theory/journal/11238/PS2|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- André Lapied & Pascal Toquebeuf, 2010. "Atemporal non-expected utility preferences, dynamic consistency and consequentialism," Economics Bulletin, AccessEcon, vol. 30(2), pages 1661-1669.
- Sarin, Rakesh & Wakker, Peter P, 1998.
"Revealed Likelihood and Knightian Uncertainty,"
Journal of Risk and Uncertainty,
Springer, vol. 16(3), pages 223-250, July-Aug..
- Sarin, R. & Wakker, P.P., 1996. "Revealed likelihood and knightian uncertainty," Discussion Paper 1996-59, Tilburg University, Center for Economic Research.
- Epstein, Larry G. & Schneider, Martin, 2003. "Recursive multiple-priors," Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
- Larry G. Epstein & Martin Schneider, 2001. "Recursive Multiple-Priors," RCER Working Papers 485, University of Rochester - Center for Economic Research (RCER).
- Alexander Zimper, 2011. "Re-examining the law of iterated expectations for Choquet decision makers," Theory and Decision, Springer, vol. 71(4), pages 669-677, October.
- Nobuo Koida, 2012. "Nest-monotonic two-stage acts and exponential probability capacities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 50(1), pages 99-124, May.
- Alain Chateauneuf & Robert Kast & AndrÃ© Lapied, 2001. "Conditioning Capacities and Choquet Integrals: The Role of Comonotony," Theory and Decision, Springer, vol. 51(2), pages 367-386, December.
- Yoo, Keuk-Ryoul, 1991. "The iterative law of expectation and non-additive probability measure," Economics Letters, Elsevier, vol. 37(2), pages 145-149, October. Full references (including those not matched with items on IDEAS)