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CEU Preferences and Dynamic Consistency

Simon Grant (), Jürgen Eichberger and David Kelsey

No 04-47, Sonderforschungsbereich 504 Publications from Sonderforschungsbereich 504, Universität Mannheim, Sonderforschungsbereich 504, University of Mannheim

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.

Pages: 15 pages
Date: 2004-11-24
Note: Research supported by ESRC grants no. R000222597 and RES-000-22-0650. We would like to
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Journal Article: CEU preferences and dynamic consistency (2005) Downloads
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