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Neo-additive capacities and updating

Eichberger, Jürgen and Grant, Simon and Lefort, Jean-Philippe

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Abstract

This paper shows that, for CEU preferences, the axioms consquentialism, state independence and conditional certainty equivalent consistency under updating characterise a family of capacities, called Genralised Neo-Additive Capacities (GNAC). This family contains as special cases among others neo-additive capacities as introduced by Chateauneuf, Eichberger, and Grant(2007), Hurwicz capacities, and ε-contaminations. Moreover, we will show that the convex version of a GNAC is the only capacity for which the core of the Full-Bayesian Updates of a capacity, introduced by Jaffray (1992), equals the set of Bayesian updates of the probability distributions in the core of the original capacity.

Item Type: Working paper
Date Deposited: 04. Nov 2009 16:42
Date: 2009
Faculties / Institutes: The Faculty of Economics and Social Studies > Alfred-Weber-Institut for Economics
Subjects: 330 Economics
Uncontrolled Keywords: Ambiguity , Updating , Choquet Expected Utility , neo-additive capacities , Conditional Certainty Equivalent Consistency
Schriftenreihe ID: Discussion Paper Series / University of Heidelberg, Department of Economics
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