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
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- Larry G. Epstein & Martin Schneider, 2001.
RCER Working Papers
485, University of Rochester - Center for Economic Research (RCER).
- Yoo, Keuk-Ryoul, 1991. "The iterative law of expectation and non-additive probability measure," Economics Letters, Elsevier, vol. 37(2), pages 145-149, October.
- Nobuo Koida, 2012. "Nest-monotonic two-stage acts and exponential probability capacities," Economic Theory, Springer, vol. 50(1), pages 99-124, May.
- Sarin, Rakesh & Wakker, Peter P, 1998. "Revealed Likelihood and Knightian Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 16(3), pages 223-50, July-Aug..
- 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.
- André Lapied & Pascal Toquebeuf, 2010. "Atemporal non-expected utility preferences, dynamic consistency and consequentialism," Economics Bulletin, AccessEcon, vol. 30(2), pages 1661-1669.
- 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.
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