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Unambiguous events and dynamic Choquet preferences

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Abstract

This paper explores the relationship between dynamic consistency and existing notions of unambiguous events for Choquet expected utility preferences. A decision maker is faced with an information structure represented by a filtration. We show that the decision maker’s preferences respect dynamic consistency on a fixed filtration if and only if the last stage of the filtration is composed of unambiguous events in the sense of Nehring (Math Social Sci 38:197–213, 1999). Adopting two axioms, conditional certainty equivalence consistency and constrained dynamic consistency to filtration measurable acts, it is shown that the decision maker respects these two axioms on a fixed filtration if and only if the last stage of the filtration is made up of unambiguous events in the sense of Zhang (Econ Theory 20:159–181, 2002).

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Authors and Affiliations

  1. Department of Economics, University of Heidelberg, Bergheimer Str. 58, 69115, Heidelberg, Germany

    Adam Dominiak & Jean-Philippe Lefort

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  1. Adam Dominiak
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  2. Jean-Philippe Lefort
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Correspondence to Jean-Philippe Lefort.

Additional information

The authors wish to thank Jürgen Eichberger, Simon Grant, Peter Wakker and an anonymous referee for their valuable comments.

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Dominiak, A., Lefort, JP. Unambiguous events and dynamic Choquet preferences. Econ Theory 46, 401–425 (2011). https://doi.org/10.1007/s00199-009-0512-7

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  • DOI: https://doi.org/10.1007/s00199-009-0512-7

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