An Axiomatic Model of Non-Bayesian Updating

Larry Epstein

No 498, RCER Working Papers from University of Rochester - Center for Economic Research (RCER)

Abstract: This paper models an agent in a three-period setting who does not update according to Bayes'Rule, and who is self-aware and anticipates her updating behavior when formulating plans. The agent is rational in the sense that her dynamic behavior is derived from a single stable preference order on a domain of state-contingent menus of acts. A representation theorem generalizes the (dynamic version of) Anscombe-Aumann's theorem so that both the prior and the way in which it is updated are subjective.

Keywords: Bayes' Rule; non-Bayesian updating; asset price volatility; no-trade theorems; agreeing to bet; common knowledge; temptation; self-control; conservatism; representativeness; overconfidence (search for similar items in EconPapers)
JEL-codes: D81 D83 D9 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2002-10, Revised 2005-01
New Economics Papers: this item is included in nep-cbe
Note: Revised January 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: An Axiomatic Model of Non-Bayesian Updating (2006)
Working Paper: An Axiomatic Model of Non-Bayesian Updating (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:roc:rocher:498

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