CEU Preferences and Dynamic Consistency
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.
|Date of creation:||24 Nov 2004|
|Date of revision:|
|Note:||Research supported by ESRC grants no. R000222597 and RES-000-22-0650. We would like to|
|Contact details of provider:|| Postal: D-68131 Mannheim|
Phone: (49) (0) 621-292-2547
Fax: (49) (0) 621-292-5594
Web page: http://www.sfb504.uni-mannheim.de/
More information through EDIRC
Web page: http://www.sfb504.uni-mannheim.de
|Order Information:|| Email: |
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.:
- Itzhak Gilboa & David Schmeidler, 1989.
"Maxmin Expected Utility with Non-Unique Prior,"
- Itzhak Gilboa & David Schmeidler, 1991.
"Updating Ambiguous Beliefs,"
924, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Itzhak Gilboa, 1987.
"Expected Utility with Purely Subjective Non-Additive Probabilities,"
- Gilboa, Itzhak, 1987. "Expected utility with purely subjective non-additive probabilities," Journal of Mathematical Economics, Elsevier, vol. 16(1), pages 65-88, February.
- Epstein Larry G. & Le Breton Michel, 1993. "Dynamically Consistent Beliefs Must Be Bayesian," Journal of Economic Theory, Elsevier, vol. 61(1), pages 1-22, October.
- Larry G. Epstein, 1999. "A Definition of Uncertainty Aversion," Review of Economic Studies, Oxford University Press, vol. 66(3), pages 579-608.
- Jerry Green, 1987. ""Making Book Against Oneself," the Independence Axiom, and Nonlinear Utility Theory," The Quarterly Journal of Economics, Oxford University Press, vol. 102(4), pages 785-796.
- 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 571-87, May.
- George Wu, 1999. "Anxiety and Decision Making with Delayed Resolution of Uncertainty," Theory and Decision, Springer, vol. 46(2), pages 159-199, April.
- Eichberger, J. & Kelsey, D., 1993.
"Uncertainty Aversion and Dynamic Consistency,"
93-08, Department of Economics, University of Birmingham.
- Simon Grant & Atsushi Kajii & Ben Polak, 2000.
"Temporal Resolution of Uncertainty and Recursive Non-Expected Utility Models,"
Econometric Society, vol. 68(2), pages 425-434, March.
- Grant, S & Kajii, A & Polak, B, 1997. "Temporal Resolution of Uncertainty and Recursive Non-Expected Utility Models," Papers 324, Australian National University - Department of Economics.
- Sarin, Rakesh K & Wakker, Peter, 1992. "A Simple Axiomatization of Nonadditive Expected Utility," Econometrica, Econometric Society, vol. 60(6), pages 1255-72, November.
- Cesaltina Pacheco Pires, 2002. "A Rule For Updating Ambiguous Beliefs," Theory and Decision, Springer, vol. 53(2), pages 137-152, September.
- Green, Jerry, 1987. ""Making book against oneself," the Independence Axiom, and Nonlinear Utility Theory," Scholarly Articles 3203640, Harvard University Department of Economics.
- Ghirardato, Paolo & Marinacci, Massimo, 2002. "Ambiguity Made Precise: A Comparative Foundation," Journal of Economic Theory, Elsevier, vol. 102(2), pages 251-289, February.
- Kelsey, D. & Milne, F., 1996. "Induced Preferences, Non Additive Probabilities and Multiple Priors," Discussion Papers 96-15, Department of Economics, University of Birmingham.
When requesting a correction, please mention this item's handle: RePEc:xrs:sfbmaa:04-47. 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: (Carsten Schmidt)
If references are entirely missing, you can add them using this form.