Unambiguous Events and Dynamic Choquet Preferences

Arbeitspapier

This paper explores the relationship between dynamic consistency and the existing notions of unambiguous events for Choquet expected utility preferences. A decision maker is faced with an information structure represented by a filtration. We show that the decision maker's preferences respect dynamic consistency on a fixed filtration if and only if the last stage of the filtration is composed of unambiguous events in the sense of Nehring (1999). Adopting two axioms, conditional certainty equivalence consistency and constrained dynamic consistency to filtration measurable acts, it is shown that the decision maker respects these two axioms on a fixed filtration if and only if the last stage of the filtration is made up of unambiguous events the sense of Zhang (2002).

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper Series ; No. 489

Classification and Topics

• Classification: Wirtschaft ; Criteria for Decision-Making under Risk and Uncertainty
• Subject: Choquet expected utility ; unambiguous events ; filtration ; updating ; dynamic consistency ; consequentialism ; Erwartungsnutzen ; Asymmetrische Information ; Entscheidung unter Risiko ; Wahrscheinlichkeitsrechnung ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Dominiak, Adam ; Lefort, Jean-Philippe
• Event: Veröffentlichung
• (who): University of Heidelberg, Department of Economics
• (where): Heidelberg
• (when): 2009

Further information

• DOI: doi:10.11588/heidok.00009838
• Handle: http://hdl.handle.net/10419/127301
• URN: urn:nbn:de:bsz:16-opus-98382
• Last update: 10.03.2025, 11:43 AM CET