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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

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Dominiak_Lefort_2009_dp489.pdf (328.9Kb)
Type
Article accepté pour publication ou publié
Date
2011-04
Journal name
Economic theory
Volume
46
Number
3
Publisher
Springer
Pages
401-425
Publication identifier
http://dx.doi.org/10.1007/s00199-009-0512-7
Metadata
Show full item record
Author(s)
Dominiak, Adam
Lefort, Jean-Philippe
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 / Keywords
Choquet expected utility; Unambiguous events; Filtration; Updating; Dynamic consistency; Consequentialism
JEL
D81 - Criteria for Decision-Making under Risk and Uncertainty
D82 - Asymmetric and Private Information; Mechanism Design

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