Dynamically consistent preferences under imprecise probabilistic information
Frank Riedel (),
Jean-Marc Tallon () and
Journal of Mathematical Economics, 2018, vol. 79, issue C, 117-124
This paper extends decision theory under imprecise probabilistic information to dynamic settings. We explore the relationship between the given objective probabilistic information, an agent’s subjective multiple priors, and updating. Dynamic consistency implies rectangular sets of priors at the subjective level. As the objective probabilistic information need not be consistent with rectangularity at the subjective level, agents might select priors outside the objective probabilistic information while respecting the support of the given set of priors. Under suitable additional axioms, the subjective set of priors belongs to the rectangular hull of the objective probabilistic information.
Keywords: Ambiguity; Time consistency; Imprecise probabilistic information (search for similar items in EconPapers)
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Working Paper: Dynamically consistent preferences under imprecise probabilistic information (2018)
Working Paper: Dynamically consistent preferences under imprecise probabilistic information (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:79:y:2018:i:c:p:117-124
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