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CEU preferences and dynamic consistency

Authors
Journal
Mathematical Social Sciences
0165-4896
Publisher
Elsevier
Publication Date
Volume
49
Issue
2
Identifiers
DOI: 10.1016/j.mathsocsci.2004.06.003
Keywords
  • Ambiguity
  • Choquet Integral
  • Capacity
  • Dynamic Consistency

Abstract

Abstract This paper investigates the dynamic consistency of Choquet Expected Utility (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.

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