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A note on “Re-examining the law of iterated expectations for Choquet decision makers”

Author

Listed:
  • André Lapied

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Pascal Toquebeuf

    (GAEL - Laboratoire d'Economie Appliquée = Grenoble Applied Economics Laboratory - UPMF - Université Pierre Mendès France - Grenoble 2 - INRA - Institut National de la Recherche Agronomique, UGA [2016-2019] - Université Grenoble Alpes [2016-2019])

Abstract

This note completes the main result of Zimper (Theory and decision, doi: 10.1007/s11238-010-9221-8 , 2010 ), by showing that additional conditions are needed in order the law of iterated expectations to hold true for Choquet decision makers. Due to the comonotonic additivity of Choquet expectations, the equation E[f, ν(dω)]=E[E[f(ω i, j ), ν(A i, j \textbarA i )], ν(A i )], is valid only when the act f is comonotonic with its dynamic form, that we name "conditional certainty equivalent act". Copyright Springer Science+Business Media New York 2013

Suggested Citation

  • André Lapied & Pascal Toquebeuf, 2024. "A note on “Re-examining the law of iterated expectations for Choquet decision makers”," Working Papers hal-01499621, HAL.
    • Handle: RePEc:hal:wpaper:hal-01499621
    DOI: 10.1007/s11238-012-9297-4
    Note: View the original document on HAL open archive server: https://amu.hal.science/hal-01499621
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    More about this item

    Keywords

    Capacities; Choquet; D81; Law of iterated expectations; Updating;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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