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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).
Dokumententyp: | Arbeitspapier |
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Erstellungsdatum: | 21 Sep. 2009 10:46 |
Erscheinungsjahr: | 2009 |
Institute/Einrichtungen: | Fakultät für Wirtschafts- und Sozialwissenschaften > Alfred-Weber Institut |
DDC-Sachgruppe: | 330 Wirtschaft |
Freie Schlagwörter: | Choquet expected utility , unambiguous events , filtration , updating , dynamic consistency, consequentialism |
Schriftenreihe: | Discussion Paper Series / University of Heidelberg, Department of Economics |