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Unambiguous events and dynamic Choquet preferences

Listed author(s):
  • Adam Dominiak

    ()

  • Jean-Philippe Lefort

    ()

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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File URL: http://hdl.handle.net/10.1007/s00199-009-0512-7
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Article provided by Springer & Society for the Advancement of Economic Theory (SAET) in its journal Economic Theory.

Volume (Year): 46 (2011)
Issue (Month): 3 (April)
Pages: 401-425

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Handle: RePEc:spr:joecth:v:46:y:2011:i:3:p:401-425
DOI: 10.1007/s00199-009-0512-7
Contact details of provider: Web page: http://www.springer.com

Web page: http://saet.uiowa.edu/

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