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

André Lapied () and Pascal Toquebeuf

Theory and Decision, 2013, vol. 74, issue 3, 439-445

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 |A 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: Choquet; Capacities; Updating; Law of iterated expectations; D81 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Working Paper: A note on "Re-examining the law of iterated expectations for Choquet decision makers" (2011)
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DOI: 10.1007/s11238-012-9297-4

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