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Unambiguous events and dynamic Choquet preferences

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  • Adam Dominiak

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  • Jean-Philippe Lefort

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Abstract

This paper explores the relationship between dynamic consistency and the existing notions of unambiguous events for Choquet expected utility preferences. A decision maker is faced with an information structure represented by a filtration. We show that the decision maker's preferences respect dynamic consistency on a fixed filtration if and only if the last stage of the filtration is composed of unambiguous events in the sense of Nehring (1999). Adopting two axioms, conditional certainty equivalence consistency and constrained dynamic consistency to filtration measurable acts, it is shown that the decision maker respects these two axioms on a fixed filtration if and only if the last stage of the filtration is made up of unambiguous events the sense of Zhang (2002).
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Suggested Citation

  • Adam Dominiak & Jean-Philippe Lefort, 2011. "Unambiguous events and dynamic Choquet preferences," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 46(3), pages 401-425, April.
  • Handle: RePEc:spr:joecth:v:46:y:2011:i:3:p:401-425
    DOI: 10.1007/s00199-009-0512-7
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    File URL: http://hdl.handle.net/10.1007/s00199-009-0512-7
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Jürgen Eichberger & Simon Grant & David Kelsey, 2012. "When is ambiguity–attitude constant?," Journal of Risk and Uncertainty, Springer, vol. 45(3), pages 239-263, December.
    2. André Lapied & Pascal Toquebeuf, 2011. "Dynamically consistent CEU preferences," Working Papers halshs-00856193, HAL.
    3. Antoine Billot & Vassili Vergopoulos, 2014. "Expected Utility without Parsimony," Documents de travail du Centre d'Economie de la Sorbonne 14048, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    4. Lapied, André & Toquebeuf, Pascal, 2012. "Dynamically consistent CEU preferences on f-convex events," Mathematical Social Sciences, Elsevier, vol. 63(3), pages 252-256.
    5. Massimiliano Amarante, 2017. "Conditional expected utility," Theory and Decision, Springer, vol. 83(2), pages 175-193, August.
    6. Dominiak, Adam, 2013. "Iterated Choquet expectations: A possibility result," Economics Letters, Elsevier, vol. 120(2), pages 155-159.
    7. André Lapied & Pascal Tocquebeuf, 2007. "Consistent Dynamice Choice And Non-Expected Utility Preferences," Working Papers halshs-00353880, HAL.
    8. repec:eee:matsoc:v:93:y:2018:i:c:p:14-21 is not listed on IDEAS
    9. Dominiak, Adam & Lefort, Jean-Philippe, 2015. "“Agreeing to disagree” type results under ambiguity," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 119-129.
    10. Dominiak, Adam & Lee, Min Suk, 2017. "Coherent Dempster–Shafer equilibrium and ambiguous signals," Journal of Mathematical Economics, Elsevier, vol. 68(C), pages 42-54.
    11. repec:kap:jrisku:v:56:y:2018:i:1:d:10.1007_s11166-018-9273-7 is not listed on IDEAS

    More about this item

    Keywords

    Choquet expected utility; Unambiguous events; Filtration; Updating; Dynamic consistency; Consequentialism; D81; D82;

    JEL classification:

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

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