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

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
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Submitted on : Friday, March 31, 2017 - 5:06:08 PM
Last modification on : Monday, April 11, 2022 - 1:58:03 PM

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André Lapied, Pascal Toquebeuf. A note on “Re-examining the law of iterated expectations for Choquet decision makers”. Theory and Decision, Springer Verlag, 2013, 74 (3), pp.439-445. ⟨10.1007/s11238-012-9297-4⟩. ⟨hal-01499621⟩

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