Updating Choquet Integrals , Consequentialism and Dynamic Consistency
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
|Date of creation:||Jun 2008|
|Contact details of provider:|| Postal: Corso Unione Sovietica, 218bis - 10134 Torino - Italy|
Phone: +39 011 6706060
Fax: +39 011 6706062
Web page: http://www.esomas.unito.it/
More information through EDIRC
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.:
- Lehrer, Ehud, 2005.
"Updating non-additive probabilities-- a geometric approach,"
Games and Economic Behavior,
Elsevier, vol. 50(1), pages 42-57, January.
- Ehud Lehrer, 2004. "Updating Non-Additive Probabilities -- A Geometric Approach," Game Theory and Information 0405010, EconWPA.
- André Lapied & Pascal Tocquebeuf, 2007.
"Consistent Dynamice Choice And Non-Expected Utility Preferences,"
- André Lapied & Pascal Toquebeuf, 2009. "Consistent dynamic choice and non-expected utility preferences," Working Papers hal-00416214, HAL.
- 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 1622-1668, December.
- Gilboa Itzhak & Schmeidler David, 1993.
"Updating Ambiguous Beliefs,"
Journal of Economic Theory,
Elsevier, vol. 59(1), pages 33-49, February.
- Karni, Edi & Schmeidler, David, 1991.
"Atemporal dynamic consistency and expected utility theory,"
Journal of Economic Theory,
Elsevier, vol. 54(2), pages 401-408, August.
- Schmeidler, D. & Karni, E., 1990. "A Temporal Dynamic Consistency And Expected Utility Theory," Papers 39-90, Tel Aviv.
- 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.
- Hammond, P.J. & , ., 1987. "Consequentialist foundations for expected utility," CORE Discussion Papers 1987016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- repec:hal:wpaper:hal-00416214_v1 is not listed on IDEAS
- repec:ebl:ecbull:v:4:y:2006:i:19:p:1-6 is not listed on IDEAS
- David Schmeidler, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Levine's Working Paper Archive
7662, David K. Levine.
- Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
- Alain Chateauneuf & Robert Kast & AndrÃ© Lapied, 2001. "Conditioning Capacities and Choquet Integrals: The Role of Comonotony," Theory and Decision, Springer, vol. 51(2), pages 367-386, December.
- Denneberg, Dieter, 2002. "Conditional expectation for monotone measures, the discrete case," Journal of Mathematical Economics, Elsevier, vol. 37(2), pages 105-121, April.
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 references are entirely missing, you can add them using this form.