Unambiguous events and dynamic Choquet preferences
Dominiak, Adam; Lefort, Jean-Philippe (2011), Unambiguous events and dynamic Choquet preferences, Economic theory, 46, 3, p. 401-425. http://dx.doi.org/10.1007/s00199-009-0512-7
TypeArticle accepté pour publication ou publié
Journal nameEconomic theory
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Abstract (EN)This paper explores the relationship between dynamic consistency and existing notions of unambiguous events for Choquet expected utility preferences. A decision maker is faced with an information structure represented by a ﬁltration. We show that the decision maker’s preferences respect dynamic consistency on a ﬁxed ﬁltration if and only if the last stage of the ﬁltration is composed of unambiguous events in the sense of Nehring (Math Social Sci 38:197–213, 1999). Adopting two axioms, conditional certainty equivalence consistency and constrained dynamic consistency to ﬁltration measurable acts, it is shown that the decision maker respects these two axioms on a ﬁxed ﬁltration if and only if the last stage of the ﬁltration is made up of unambiguous events in the sense of Zhang (Econ Theory 20:159–181, 2002).
Subjects / KeywordsChoquet expected utility; Unambiguous events; Filtration; Updating; Dynamic consistency; Consequentialism
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