A Simple Axiomatization of Iterated Choquet Objectives

Kiyohiko G. Nishimura and Hiroyuki Ozaki
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Kiyohiko G. Nishimura: Faculty of Economics, The University of Tokyo
Hiroyuki Ozaki: Faculty of Economics, Tohoku University

No CIRJE-F-219, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: A set of axioms which characterizes a preference representable by the iterated Choquet expected utility is presented. This objective function is attractive since it possesses a feature of dynamical consistency. Furthermore,we show that under the same axioms the conditional preference is represented by the Choquet expected utility with respect to the capacity which is updated according to the Dempster-Shafer rule. We do this by weakening Schmeidler's axiom of comonotonic independence to our axiom of constrained comonotonic independence and by adding the axiom of dynamical consistency.

Pages: 20 pages
Date: 2003-05
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2003cf219

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