The ex-Ante non-optimality of the Dempster-Schafer updating rule for ambiguous beliefs

James Dow and Sergio Werlang

No 185, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

Abstract: The most widely used updating rule for non-additive probalities is the Dempster-Schafer rule. Schmeidles and Gilboa have developed a model of decision making under uncertainty based on non-additive probabilities, and in their paper 'Updating Ambiguos Beliefs' they justify the Dempster-Schafer rule based on a maximum likelihood procedure. This note shows in the context of Schmeidler-Gilboa preferences under uncertainty, that the Dempster-Schafer rule is in general not ex-ante optimal. This contrasts with Brown’s result that Bayes’ rule is ex-ante optimal for standard Savage preferences with additive probabilities.

Date: 1992-02
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://repositorio.fgv.br/bitstreams/3bd48cf4-655 ... 8a62660c172/download (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgewp:185

Access Statistics for this paper

More papers in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) Contact information at EDIRC.
Bibliographic data for series maintained by Núcleo de Computação da FGV EPGE ().