Unambiguous events and dynamic Choquet preferences (Q2431095)
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English | Unambiguous events and dynamic Choquet preferences |
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Unambiguous events and dynamic Choquet preferences (English)
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8 April 2011
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This paper explores the relationship between dynamic consistency and existing notions of unambiguous events for Choquet expected utility preferences. It is shown 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 \textit{K. Nehring} [Math. Soc. Sci. 38, No. 2, 197--213 (1999; Zbl 1073.91571)]. 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 \textit{J. Zhang} [Econ. Theory 20, No. 1, 159--181 (2002; Zbl 1032.91050)].
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Choquet expected utility
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unambiguous events
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filtration
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updating
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dynamic consistency
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consequentialism
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