Updating Choquet valuation and discounting information arrivals

André Lapied () and Robert Kast
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Robert Kast: LAMETA - Laboratoire Montpelliérain d'Économie Théorique et Appliquée - UM1 - Université Montpellier 1 - UPVM - Université Paul-Valéry - Montpellier 3 - INRA - Institut National de la Recherche Agronomique - Montpellier SupAgro - Centre international d'études supérieures en sciences agronomiques - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier

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Abstract: We explore different possible definitions for conditional Choquet integrals and their implications for updating capacities. Many recent works consider relaxing dynamic consistency within Choquet Expected Utility models, but all of them deal with models where time is not explicitly introduced. We confront the different definitions with dynamic consistency when information arrives along with time through a Choquet version of the Net Present Value. We show that only one definition is dynamically consistent in a decision model where time is discounted according to the agent's preferences. However, it violates consequentialism because all future outcomes must be taken into consideration.

Keywords: Conditional Expectations; Updating; Choquet Expected Utility; Learning; Dynamic Consistency; Discounting (search for similar items in EconPapers)
Date: 2009-08-21
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00410532v1
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Working Paper: Updating Choquet valuation and discounting information arrivals (2005)
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