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Dynamically consistent preferences under imprecise probabilistic information

Frank Riedel (), Jean-Marc Tallon () and Vassili Vergopoulos ()
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Vassili Vergopoulos: CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: 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)
Date: 2018
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01886573
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Published in Journal of Mathematical Economics, Elsevier, 2018, ⟨10.1016/j.jmateco.2018.04.006⟩

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Journal Article: Dynamically consistent preferences under imprecise probabilistic information (2018) Downloads
Working Paper: Dynamically consistent preferences under imprecise probabilistic information (2017) Downloads
Working Paper: Dynamically Consistent Preferences Under Imprecise Probabilistic Information (2017) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-01886573

DOI: 10.1016/j.jmateco.2018.04.006

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