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CEU preferences and dynamic consistency

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Listed:
  • Grant, Simon
  • Eichberger, Jürgen
  • Kelsey, David

Abstract

This paper investigates the dynamic consistency of CEU preferences. A decision maker is faced with an information structure represented by a fixed filtration. If beliefs are represented by a convex capacity, we show that a necessary and sufficient condition for dynamic consistency is that beliefs be additive over the final stage in the filtration.

Suggested Citation

  • Grant, Simon & Eichberger, Jürgen & Kelsey, David, 2004. "CEU preferences and dynamic consistency," Papers 04-47, Sonderforschungsbreich 504.
    • Handle: RePEc:mnh:spaper:2695
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    File URL: https://madoc.bib.uni-mannheim.de/2695/1/dp04_47.pdf
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    References listed on IDEAS

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    1. Ghirardato, Paolo & Marinacci, Massimo, 2002. "Ambiguity Made Precise: A Comparative Foundation," Journal of Economic Theory, Elsevier, vol. 102(2), pages 251-289, February.
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    More about this item

    Keywords

    Ambiguity ; Choquet Integral ; Capacity ; Dynamic consistency;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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