Dynamically Consistent Conditional Choquet Capacities

Robert Kast () and André Lapied ()

ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research

Abstract: Preferences of a Decision Maker define a valuation function on future uncertain payoffs. Consistency of this unconditional valuation function with valuation conditional on information arrivals is justified by a no Money Pump argument. A result on the updating of capacities is obtained in a static framework. Then the arguments are developed in a model where the future payoffs are contingents on two components: uncertain states and future dates. We obtain results on updating capacities on the uncertain states and “upstating” capacities (discount factors) on future dates in a special case. These results are shown to violate consequentialism.

Keywords: Comonotonicity; Capacities on product spaces; Updating; Flexibilities (search for similar items in EconPapers)
JEL-codes: D81 D83 D92 G31 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2007-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.bemservizi.unito.it/repec/icr/wp2007/ICERwp20-07.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:20-2007

Access Statistics for this paper

More papers in ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research Corso Unione Sovietica, 218bis - 10134 Torino - Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Daniele Pennesi ().