A note on "Re-examining the law of iterated expectations for Choquet decision makers"

André Lapied () and Pascal Toquebeuf

Working Papers from HAL

Abstract: This note completes the main result of [Zimper A., (2010) Re-examining the law of iterated expectations for Choquet decision makers. Theory and decision, DOI 10.1007/s11238-010-9221-8], by showing that additional conditions are needed in order the law of iterated expectations to hold true for Choquet decision makers. Due to the comonotonic additivity of Choquet expectations, the equation E[f; (d!)] = E[E[f(!i;j); (Ai;jjAi)]; (Ai)]; is valid only when the act f is comonotonic with its dynamic form, that we name "conditional certainty equivalent act".

Keywords: Choquet; Capacities; Updating; Law of iterated expectations (search for similar items in EconPapers)
Date: 2011-12-04
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00856184v1
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Citations: View citations in EconPapers (2)

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Journal Article: A note on “Re-examining the law of iterated expectations for Choquet decision makers” (2013)
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