Unambiguous events and dynamic Choquet preferences
This paper explores the relationship between dynamic consistency and 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 (Math Social Sci 38:197–213, 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 in the sense of Zhang (Econ Theory 20:159–181, 2002).
|Date of creation:||Apr 2011|
|Date of revision:|
|Publication status:||Published in Economic theory, 2011, Vol. 46, no. 3. pp. 401-425.Length: 24 pages|
|Contact details of provider:|| Web page: http://www.dauphine.fr/en/welcome.html|
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