CEU preferences and dynamic consistency

Simon Grant, Jürgen Eichberger and David Kelsey

No 04-47, Papers from Sonderforschungsbreich 504

Abstract: This paper investigates the dynamic consistency of CEU preferences. A decision maker is faced with an information structure represented by a fixed filtration. If beliefs are represented by a convex capacity, we show that a necessary and sufficient condition for dynamic consistency is that beliefs be additive over the final stage in the filtration.

Keywords: Ambiguity; Choquet Integral; Capacity; Dynamic consistency (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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Journal Article: CEU preferences and dynamic consistency (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:mnh:spaper:2695

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