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Consistent Dynamice Choice And Non-Expected Utility Preferences

  • André Lapied

    ()

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université Paul Cézanne - Aix-Marseille 3 - Université de la Méditerranée - Aix-Marseille 2 - EHESS - École des hautes études en sciences sociales - CNRS - AMU - Aix-Marseille Université, IDEP - Institut d'Économie Publique - GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université Paul Cézanne - Aix-Marseille 3 - Université de la Méditerranée - Aix-Marseille 2 - EHESS - École des hautes études en sciences sociales - CNRS - AMU - Aix-Marseille Université)

  • Pascal Tocquebeuf

    ()

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université Paul Cézanne - Aix-Marseille 3 - Université de la Méditerranée - Aix-Marseille 2 - EHESS - École des hautes études en sciences sociales - CNRS - AMU - Aix-Marseille Université)

Pursuing works from Sarin and Wakker (1998), we study how NonExpected Utility models could be consistently applied to multi-stage decision problems. Concerning multiple priors model, we remove the argument that dynamic consistency, consequentialism and model consistency (sequential consistency in Sarin and Wakker (1998)) can all be preserved. Like Choquet expected utility, deviation of expected utility is only allowed over the final stage. Moreover, it's proved for the two models that if we also assume reduction of compound acts, then an expected utility representation exists in all stages.

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Paper provided by HAL in its series Working Papers with number halshs-00353880.

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Date of creation: 01 Oct 2007
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Handle: RePEc:hal:wpaper:halshs-00353880
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  1. Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci & Marciano Siniscalchi, 2003. "A Subjective Spin on Roulette Wheels," Econometrica, Econometric Society, vol. 71(6), pages 1897-1908, November.
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  5. Hammond, P.J. & , ., 1987. "Consequentialist foundations for expected utility," CORE Discussion Papers 1987016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Grant, Simon & Eichberger, Jürgen & Kelsey, David, 2004. "CEU Preferences and Dynamic Consistency," Sonderforschungsbereich 504 Publications 04-47, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  7. Kiyohiko G. Nishimura & Hiroyuki Ozaki, 2003. "A Simple Axiomatization of Iterated Choquet Objectives," CIRJE F-Series CIRJE-F-219, CIRJE, Faculty of Economics, University of Tokyo.
  8. Karni, Edi & Schmeidler, David, 1991. "Atemporal dynamic consistency and expected utility theory," Journal of Economic Theory, Elsevier, vol. 54(2), pages 401-408, August.
  9. Sarin, Rakesh & Wakker, Peter P, 1998. "Dynamic Choice and NonExpected Utility," Journal of Risk and Uncertainty, Springer, vol. 17(2), pages 87-119, November.
  10. Klibanoff, Peter & Hanany, Eran, 2007. "Updating preferences with multiple priors," Theoretical Economics, Econometric Society, vol. 2(3), September.
  11. Volij, Oscar, 1994. "Dynamic Consistency, Consequentialism and The Reduction of Compound Lotteries," Staff General Research Papers 10569, Iowa State University, Department of Economics.
  12. Dominiak, Adam & Lefort, Jean-Philippe, 2009. "Unambiguous Events and Dynamic Choquet Preferences," Working Papers 0489, University of Heidelberg, Department of Economics.
  13. Alain Chateauneuf & Robert Kast & André Lapied, 2001. "Conditioning Capacities and Choquet Integrals: The Role of Comonotony," Theory and Decision, Springer, vol. 51(2), pages 367-386, December.
  14. Gilboa, Itzhak, 1987. "Expected utility with purely subjective non-additive probabilities," Journal of Mathematical Economics, Elsevier, vol. 16(1), pages 65-88, February.
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  16. Casadesus-Masanell, Ramon & Klibanoff, Peter & Ozdenoren, Emre, 2000. "Maxmin Expected Utility over Savage Acts with a Set of Priors," Journal of Economic Theory, Elsevier, vol. 92(1), pages 35-65, May.
  17. Itzhak Gilboa & David Scheidler, 1993. "Updating Ambiguous Beliefs," Post-Print hal-00753150, HAL.
  18. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
  19. David M Kreps & Evan L Porteus, 1978. "Temporal Resolution of Uncertainty and Dynamic Choice Theory," Levine's Working Paper Archive 625018000000000009, David K. Levine.
  20. Larry G. Epstein & Martin Schneider, 2001. "Recursive Multiple-Priors," RCER Working Papers 485, University of Rochester - Center for Economic Research (RCER).
  21. Wang, Tan, 2003. "Conditional preferences and updating," Journal of Economic Theory, Elsevier, vol. 108(2), pages 286-321, February.
  22. Volij, Oscar, 1994. "Dynamic consistency, consequentialism and reduction of compound lotteries," Economics Letters, Elsevier, vol. 46(2), pages 121-129, October.
  23. Paolo Ghirardato, 2002. "Revisiting Savage in a conditional world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 20(1), pages 83-92.
  24. Ramon Casadesus-Masanell & Peter Klibanoff & Emre Ozdenoren, 1998. "Maximum Expected Utility over Savage Acts with a Set of Priors," Discussion Papers 1218, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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