EconPapers    
Economics at your fingertips  
 

G-continuity, impatience and myopia for Choquet multi-period utilities

Alain Chateauneuf () and Caroline Ventura ()
Additional contact information
Caroline Ventura: PRISM - Pôle de recherche interdisciplinaire en sciences du management - UP1 - Université Panthéon-Sorbonne

PSE - Labex "OSE-Ouvrir la Science Economique" from HAL

Abstract: A main goal of this paper is to try to clarify the notions of impatience and myopia, often considered as synonymous in the literature. The occurrence of asset price bubbles (see Araujo et al., 2011) when only myopia is required, explains why we focused on a stronger notion that we define as impatience and which allows to avoid such market anomalies. The first part characterizes the impatience and the myopia in the context of discrete and continuous time flows of income (consumption) valued through a Choquet integral with respect to an (exact) capacity. Our results unlike the additive utility functional allow to disentangle myopia from impatience: impatience requires myopia but the converse is false. Moreover it turns out that in our framework a decision maker exhibits more easily impatience and myopia in continuous time than in discrete time. In the second part, we recall the generalization given by Rébillé (2008) of the Yosida-Hewitt decomposition of an additive set function into a continuous part and a pathological part and use it to give a characterization of those convex capacities whose core contains at least one G-continuous measure. We then proceed to characterize the exact capacities whose core contains only G-continuous measures thus connecting some previous characterizations of impatience and myopia with core properties of exact capacities. As a dividend, a simple characterization of countably additive Borel probabilities on locally compact σ-compact metric spaces is obtained.

Keywords: Impatience; Myopia; Exact capacities; G-cores (search for similar items in EconPapers)
Date: 2013-01
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00964446
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Published in Journal of Mathematical Economics, Elsevier, 2013, 49 (1), pp.97-105. ⟨10.1016/j.jmateco.2012.10.003⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: G-continuity, impatience and myopia for Choquet multi-period utilities (2013) Downloads
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:hal:pseose:hal-00964446

DOI: 10.1016/j.jmateco.2012.10.003

Access Statistics for this paper

More papers in PSE - Labex "OSE-Ouvrir la Science Economique" from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2020-01-15
Handle: RePEc:hal:pseose:hal-00964446