Re-examining the law of iterated expectations for Choquet decision makers

DOI10.1007/S11238-010-9221-8MaRDI QIDQ763357zbMATHOpenAlexFDO

Authors Alexander Zimper

Publication date 9 March 2012

Published in Theory and Decision (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11238-010-9221-8

zbMATH Keywords

asset pricingdynamic decision makingChoquet expected utility theorynon-additive probability measures

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 3087284 (Why is no real title available?)
• A Definition of Subjective Probability
• A Definition of Uncertainty Aversion
• A Simple Axiomatization of Nonadditive Expected Utility
• Advances in prospect theory: cumulative representation of uncertainty
• Ambiguity made precise: A comparative foundation
• An axiomatization of cumulative prospect theory
• Expected utility with purely subjective non-additive probabilities
• Integral Representation Without Additivity
• Revealed likelihood and Knightian uncertainty
• Risk Attitudes and Decision Weights
• Risk, ambiguity and the Savage axioms
• Subjective Probability and Expected Utility without Additivity
• Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle
• The iterative law of expectation and non-adaptive probability measure
• Updating Choquet beliefs
• Updating ambiguous beliefs
• \(E\)-capacities and the Ellsberg paradox

Cited in

(6)

• Dynamically consistent CEU preferences on \(f\)-convex events
• A note on ``Re-examining the law of iterated expectations for Choquet decision makers
• AN ITERATIVITY CONDITION FOR THE MEAN-VALUE PRINCIPLE UNDER CUMULATIVE PROSPECT THEORY
• Iterated Choquet expectations: a possibility result
• On the disintegration property of coherent upper conditional prevision defined by the Choquet integral with respect to its associated Hausdorff outer measure
• Ambiguous price formation

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