CEU Preferences and Dynamic Consistency Grant, Simon

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Author
Grant, Simon
Subjects
Keywords: Ambiguity; Capacity; Choquet integral; Dynamic consistency
Summary
This paper investigates the dynamic consistency of Choquet Expected Utility (CEU) preferences. A decision-maker is faced with an information structure represented by a fixed filtration. If beliefs are represented by a convex capacity, we show that a necessary and sufficient condition for dynamic consistency is that beliefs be additive over the final stage in the filtration.
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http://trove.nla.gov.au/work/40514
Work ID
40514

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