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Unambiguous Events and Dynamic Choquet Preferences

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  • Dominiak, Adam
  • Lefort, Jean-Philippe

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).

Suggested Citation

  • Dominiak, Adam & Lefort, Jean-Philippe, 2009. "Unambiguous Events and Dynamic Choquet Preferences," Working Papers 0489, University of Heidelberg, Department of Economics.
  • Handle: RePEc:awi:wpaper:0489
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    References listed on IDEAS

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    1. Gilboa Itzhak & Schmeidler David, 1993. "Updating Ambiguous Beliefs," Journal of Economic Theory, Elsevier, vol. 59(1), pages 33-49, February.
    2. Dominiak, Adam & Duersch, Peter & Lefort, Jean-Philippe, 2012. "A dynamic Ellsberg urn experiment," Games and Economic Behavior, Elsevier, vol. 75(2), pages 625-638.
    3. Epstein, Larry G & Zhang, Jiankang, 2001. "Subjective Probabilities on Subjectively Unambiguous Events," Econometrica, Econometric Society, vol. 69(2), pages 265-306, March.
    4. Epstein, L.G. & Zhang, J., 1998. "Subjective Probabilities on Subjectivity Unambiguous Event," RCER Working Papers 456, University of Rochester - Center for Economic Research (RCER).
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    6. Jiankang Zhang, 2002. "Subjective ambiguity, expected utility and Choquet expected utility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 20(1), pages 159-181.
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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. Lapied, André & Toquebeuf, Pascal, 2012. "Dynamically consistent CEU preferences on f-convex events," Mathematical Social Sciences, Elsevier, vol. 63(3), pages 252-256.
    3. Dominiak, Adam & Lefort, Jean-Philippe, 2015. "“Agreeing to disagree” type results under ambiguity," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 119-129.
    4. repec:kap:theord:v:83:y:2017:i:2:d:10.1007_s11238-017-9597-9 is not listed on IDEAS
    5. Massimiliano Amarante, 2017. "Conditional expected utility," Theory and Decision, Springer, vol. 83(2), pages 175-193, August.
    6. André Lapied & Pascal Toquebeuf, 2011. "Dynamically consistent CEU preferences," Working Papers halshs-00856193, HAL.
    7. Dominiak, Adam, 2013. "Iterated Choquet expectations: A possibility result," Economics Letters, Elsevier, vol. 120(2), pages 155-159.
    8. André Lapied & Pascal Tocquebeuf, 2007. "Consistent Dynamice Choice And Non-Expected Utility Preferences," Working Papers halshs-00353880, HAL.
    9. Dominiak, Adam & Lee, Min Suk, 2017. "Coherent Dempster–Shafer equilibrium and ambiguous signals," Journal of Mathematical Economics, Elsevier, vol. 68(C), pages 42-54.

    More about this item

    Keywords

    Choquet expected utility; unambiguous events; filtration; updating; dynamic consistency; consequentialism;

    JEL classification:

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

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