Objective rationality and recursive multiple priors

Federica Ceron and Vassili Vergopoulos

Journal of Mathematical Economics, 2022, vol. 102, issue C

Abstract: We provide an axiomatic characterization of recursive MaxMin preferences that stem from a (possibly) incomplete relation representing preference judgements that are justified by objective probabilistic information. To ensure that her choice behavior be informed by objective information, dynamically consistent, and ambiguity averse, the decision-maker evaluates alternatives by their minimal expected value over the rectangular hull of the objective information set. The characterization builds upon two axioms that naturally combine the three requirements in a behavioral way. Our main result suggests a principled justification for the use of recursive MaxMin preferences in applications to dynamic choice problems.

Keywords: MaxMin expected utility; Rectangularity; Unanimity rule; Dynamic consistency; Prior-by-prior updating; Mental and behavioral preferences (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:102:y:2022:i:c:s030440682200088x

DOI: 10.1016/j.jmateco.2022.102761

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