A note on “Re-examining the law of iterated expectations for Choquet decision makers” - Archive ouverte HAL Access content directly
Journal Articles Theory and Decision Year : 2013

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

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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

Dates and versions

hal-01499621 , version 1 (31-03-2017)

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Cite

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