Iterated Choquet expectations: A possibility result

Adam Dominiak

Economics Letters, 2013, vol. 120, issue 2, 155-159

Abstract: Contrary to Yoo’s (1991) [Yoo, K.-R., 1991. The iterative law of expectation and non-additive probability measure. Economics Letters 37, 145–149] result, it is shown that the law of iterated expectations can be maintained in the class of Choquet expected utility preferences, even though beliefs are non-additive. Choquet integrals satisfy the law of iterated expectations on a fixed partition if and only if the unconditional capacity is additively separable among the events forming that partition, and the conditional capacity is derived by applying Bayes’ rule.

Keywords: Ambiguity; Capacities; Choquet expected utility; Updating preferences; Consequentialism; The law of iterated expectations (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:120:y:2013:i:2:p:155-159

DOI: 10.1016/j.econlet.2013.04.008

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