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Unambiguous Events and Dynamic Choquet Preferences

Dominiak, Adam and Lefort, Jean-Philippe

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Abstract

This paper explores the relationship between dynamic consistency and the 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 (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 the sense of Zhang (2002).

Item Type: Working paper
Date Deposited: 21. Sep 2009 10:46
Date: 2009
Faculties / Institutes: The Faculty of Economics and Social Studies > Alfred-Weber-Institut for Economics
Subjects: 330 Economics
Uncontrolled Keywords: Choquet expected utility , unambiguous events , filtration , updating , dynamic consistency, consequentialism
Schriftenreihe ID: Discussion Paper Series / University of Heidelberg, Department of Economics
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