Unambiguous Events and Dynamic Choquet Preferences

Adam Dominiak and Jean-Philippe Lefort

No 489, Working Papers from University of Heidelberg, Department of Economics

Abstract: 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).

Keywords: Choquet expected utility; unambiguous events; filtration; updating; dynamic consistency; consequentialism (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2009-09-21
New Economics Papers: this item is included in nep-upt
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Journal Article: Unambiguous events and dynamic Choquet preferences (2011)
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