CEU preferences and dynamic consistency
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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|Source:||Mathematical Social Sciences|
|01_Grant_CEU_preferences_and_dynamic_2005.pdf||123.51 kB||Adobe PDF||Request a copy|
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