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Neo-additive capacities and updating

Jürgen Eichberger, Simon Grant () and Jean-Philippe Lefort

No 490, Working Papers from University of Heidelberg, Department of Economics

Abstract: This paper shows that, for CEU preferences, the axioms consquentialism, state independence and conditional certainty equivalent consistency under updating characterise a family of capacities, called Genralised Neo-Additive Capacities (GNAC). This family contains as special cases among others neo-additive capacities as introduced by Chateauneuf, Eichberger, and Grant(2007), Hurwicz capacities, and ε-contaminations. Moreover, we will show that the convex version of a GNAC is the only capacity for which the core of the Full-Bayesian Updates of a capacity, introduced by Jaffray (1992), equals the set of Bayesian updates of the probability distributions in the core of the original capacity.

Keywords: Ambiguity; Updating; Choquet Expected Utility; neo-additive capacities; Conditional Certainty Equivalent Consistency (search for similar items in EconPapers)
JEL-codes: D D (search for similar items in EconPapers)
Date: 2009-11-04
New Economics Papers: this item is included in nep-ene and nep-upt
Note: This paper is part of http://archiv.ub.uni-heidelberg.de/volltextserver/view/schriftenreihen/sr-3.html
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