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Unambiguous events and dynamic Choquet preferences

  • Dominiak, Adam
  • Lefort, Jean-Philippe
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    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).

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    Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/7323.

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    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
    Handle: RePEc:dau:papers:123456789/7323
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    11. Eichberger, Jürgen & Grant, Simon & Lefort, Jean-Philippe, 2008. "Neo-additive capacities and updating," Sonderforschungsbereich 504 Publications 08-31, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
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    13. Eichberger, Jurgen & Grant, Simon & Kelsey, David, 2005. "CEU preferences and dynamic consistency," Mathematical Social Sciences, Elsevier, vol. 49(2), pages 143-151, March.
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