CEU preferences and dynamic consistency

Jürgen Eichberger; Simon Grant; David Kelsey

doi:10.1016/j.mathsocsci.2004.06.003

CEU preferences and dynamic consistency

Jürgen Eichberger, Simon Grant, David Kelsey^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

20 Citations (Scopus)

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.

Original language	English
Pages (from-to)	143-151
Number of pages	9
Journal	Mathematical Social Sciences
Volume	49
Issue number	2
DOIs	https://doi.org/10.1016/j.mathsocsci.2004.06.003
Publication status	Published - Mar 2005

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title = "CEU preferences and dynamic consistency",

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.",

keywords = "Ambiguity, Capacity, Choquet integral, Dynamic consistency",

author = "J{\"u}rgen Eichberger and Simon Grant and David Kelsey",

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AU - Grant, Simon

AU - Kelsey, David

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AB - 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.

KW - Ambiguity

KW - Capacity

KW - Choquet integral

KW - Dynamic consistency

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DO - 10.1016/j.mathsocsci.2004.06.003

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SP - 143

EP - 151

JO - Mathematical Social Sciences

JF - Mathematical Social Sciences

IS - 2

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CEU preferences and dynamic consistency

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