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CEU preferences and dynamic consistency

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Date

2005

Authors

Grant, Simon

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

Abstract

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.

Description

Keywords

Keywords: Ambiguity; Capacity; Choquet integral; Dynamic consistency

Citation

URI

http://hdl.handle.net/1885/84866

Collections

ANU Research Publications

Source

Mathematical Social Sciences

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1016/j.mathsocsci.2004.06.003

Restricted until

2037-12-31

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Description
01_Grant_CEU_preferences_and_dynamic_2005.pdf (123.51 KB)

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