IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Updating Choquet Integrals , Consequentialism and Dynamic Consistency

  • Robert Kast

    ()

  • André Lapied

    ()

  • Pascal Toquebeuf

    ()

Choquet capacities have been used to represent decision makers’ beliefs in order to generalise the expected utility approach. Conditional capacities have to be defined for dynamic choice situations where information may modify the decision maker future beliefs. Several updating rules have been proposed in the literature. We derive them from a general approach based on conditional Choquet expectations. Conversely, depending on the updating rule adopted, the conditional Choquet integral can take different values. Conditional Choquet Expected Utility are derived from axioms on preferences. However, it is now well-known in decision theory that if preferences satisfy simultaneously dynamic consistency and consequentialism axioms their representation is restricted to classical Expected Utility. We show that the rule proposed by Chateauneuf, Kast and Lapied (2001) is the only one to satisfy dynamic consistency with a nonnecessary additive capacity

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://servizi.sme.unito.it/icer_repec/RePEc/icr/wp2008/ICERwp04-08.pdf
Download Restriction: no

Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers - Applied Mathematics Series with number 04-2008.

as
in new window

Length: 25 pages
Date of creation: Jun 2008
Date of revision:
Handle: RePEc:icr:wpmath:04-2008
Contact details of provider: Postal: Corso Unione Sovietica, 218bis - 10134 Torino - Italy
Phone: +39 011 6706060
Fax: +39 011 6706060
Web page: http://www.esomas.unito.it/
Email:


More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Itzhak Gilboa & David Schmeidler, 1991. "Updating Ambiguous Beliefs," Discussion Papers 924, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. André Lapied & Pascal Tocquebeuf, 2007. "Consistent Dynamice Choice And Non-Expected Utility Preferences," Working Papers halshs-00353880, HAL.
  3. Schmeidler, D. & Karni, E., 1990. "A Temporal Dynamic Consistency And Expected Utility Theory," Papers 39-90, Tel Aviv.
  4. Paolo Ghirardato, 2002. "Revisiting Savage in a conditional world," Economic Theory, Springer, vol. 20(1), pages 83-92.
  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. Machina, Mark J, 1989. "Dynamic Consistency and Non-expected Utility Models of Choice under Uncertainty," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1622-68, December.
  7. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
  8. Denneberg, Dieter, 2002. "Conditional expectation for monotone measures, the discrete case," Journal of Mathematical Economics, Elsevier, vol. 37(2), pages 105-121, April.
  9. Ehud Lehrer, 2004. "Updating Non-Additive Probabilities -- A Geometric Approach," Game Theory and Information 0405010, EconWPA.
  10. 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.
  11. André Lapied & Pascal Toquebeuf, 2009. "Consistent dynamic choice and non-expected utility preferences," Working Papers hal-00416214, HAL.
  12. repec:ebl:ecbull:v:4:y:2006:i:19:p:1-6 is not listed on IDEAS
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:icr:wpmath:04-2008. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Simone Pellegrino)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.