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CEU Preferences and Dynamic Consistency

Author

Listed:
  • Grant, Simon

    (Department of Economics Rice University)

  • Eichberger, Jürgen

    (Sonderforschungsbereich 504)

  • Kelsey, David

    (Department of Economics, The University of Birmingham)

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.

Suggested Citation

  • Grant, Simon & Eichberger, Jürgen & Kelsey, David, 2004. "CEU Preferences and Dynamic Consistency," Sonderforschungsbereich 504 Publications 04-47, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    • Handle: RePEc:xrs:sfbmaa:04-47
    Note: Research supported by ESRC grants no. R000222597 and RES-000-22-0650. We would like to
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    File URL: http://www.sfb504.uni-mannheim.de/publications/dp04-47.pdf
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    JEL classification:

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

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