A note on “Re-examining the law of iterated expectations for Choquet decision makers”

André Lapied and Pascal Toquebeuf
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André Lapied: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique
Pascal Toquebeuf: GAEL - Laboratoire d'Economie Appliquée = Grenoble Applied Economics Laboratory - UPMF - Université Pierre Mendès France - Grenoble 2 - INRA - Institut National de la Recherche Agronomique, UGA [2016-2019] - Université Grenoble Alpes [2016-2019]

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Abstract: This note completes the main result of Zimper (Theory and decision, doi: 10.1007/s11238-010-9221-8 , 2010 ), by showing that additional conditions are needed in order the law of iterated expectations to hold true for Choquet decision makers. Due to the comonotonic additivity of Choquet expectations, the equation E[f, ν(dω)]=E[E[f(ω i, j ), ν(A i, j \textbarA i )], ν(A i )], is valid only when the act f is comonotonic with its dynamic form, that we name "conditional certainty equivalent act". Copyright Springer Science+Business Media New York 2013

Keywords: Capacities; Choquet; D81; Law of iterated expectations; Updating (search for similar items in EconPapers)
Date: 2024-01-11
Note: View the original document on HAL open archive server: https://amu.hal.science/hal-01499621v1
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01499621

DOI: 10.1007/s11238-012-9297-4

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