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

André Lapied (1) , Pascal Toquebeuf (2, 3)

1 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille
2 TEPP - Travail, Emploi et Politiques Publiques
3 GAINS - Groupe d'Analyse des Itinéraires et des Niveaux Salariaux

This note completes the main result of [Zimper A., (2010) Re-examining the law of iterated expectations for Choquet decision makers. Theory and decision, DOI 10.1007/s11238-010-9221-8], 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; (d!)] = E[E[f(!i;j); (Ai;jjAi)]; (Ai)]; is valid only when the act f is comonotonic with its dynamic form, that we name "conditional certainty equivalent act".

Mots clés: Choquet; Capacities; Updating; Law of iterated expectations

Domaines: Economies et finances

André Lapied, Pascal Toquebeuf. A note on "Re-examining the law of iterated expectations for Choquet decision makers". 2011. ⟨halshs-00856184⟩