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CEU preferences and dynamic consistency

Grant, Simon

Description

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.

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
URI: http://hdl.handle.net/1885/84866
Source: Mathematical Social Sciences
DOI: 10.1016/j.mathsocsci.2004.06.003

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