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CONSISTENT DYNAMICE CHOICE AND NON-EXPECTED UTILITY PREFERENCES

André Lapied 1, 2, * Pascal Tocquebeuf 1
* Corresponding author
2 IDEP - Institut d'Économie Publique
GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille
Abstract : Pursuing works from Sarin and Wakker (1998), we study how NonExpected Utility models could be consistently applied to multi-stage decision problems. Concerning multiple priors model, we remove the argument that dynamic consistency, consequentialism and model consistency (sequential consistency in Sarin and Wakker (1998)) can all be preserved. Like Choquet expected utility, deviation of expected utility is only allowed over the final stage. Moreover, it's proved for the two models that if we also assume reduction of compound acts, then an expected utility representation exists in all stages.
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https://halshs.archives-ouvertes.fr/halshs-00353880
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André Lapied, Pascal Tocquebeuf. CONSISTENT DYNAMICE CHOICE AND NON-EXPECTED UTILITY PREFERENCES. 2007. ⟨halshs-00353880⟩

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