Dynamically consistent preferences under imprecise probabilistic information
Jean-Marc Tallon
- Fonction : Auteur
- PersonId : 740561
- IdHAL : jean-marc-tallon
- ORCID : 0000-0003-1762-9633
- IdRef : 035261307
Vassili Vergopoulos
- Fonction : Auteur
- PersonId : 10489
- IdHAL : vassili-vergopoulos
- IdRef : 244992347
Résumé
This paper extends decision theory under imprecise probabilistic information to dynamic settings. We explore the relationship between the given objective probabilistic information, an agent’s subjective multiple priors, and updating. Dynamic consistency implies rectangular sets of priors at the subjective level. As the objective probabilistic information need not be consistent with rectangularity at the subjective level, agents might select priors outside the objective probabilistic information while respecting the support of the given set of priors. Under suitable additional axioms, the subjective set of priors belongs to the rectangular hull of the objective probabilistic information.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Dynamically consistent preferences under imprecise probabilistic information
|
Résumé |
en
This paper extends decision theory under imprecise probabilistic information to dynamic settings. We explore the relationship between the given objective probabilistic information, an agent’s subjective multiple priors, and updating. Dynamic consistency implies rectangular sets of priors at the subjective level. As the objective probabilistic information need not be consistent with rectangularity at the subjective level, agents might select priors outside the objective probabilistic information while respecting the support of the given set of priors. Under suitable additional axioms, the subjective set of priors belongs to the rectangular hull of the objective probabilistic information.
|
Auteur(s) |
Frank Riedel
1, 2
, Jean-Marc Tallon
3, 4
, Vassili Vergopoulos
5, 3
1
UJ -
University of Johannesburg [South Africa]
( 473739 )
- PO Box 524
Auckland Park
2006
- Afrique du Sud
2
Universitat Bielefeld
( 411403 )
- Allemagne
3
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
4
PJSE -
Paris Jourdan Sciences Economiques
( 1171428 )
- 48 boulevard Jourdan 75014 Paris
- France
5
CES -
Centre d'économie de la Sorbonne
( 15080 )
- Maison des Sciences Économiques - 106-112 Boulevard de l'Hôpital - 75647 Paris Cedex 13
- France
|
Langue du document |
Anglais
|
Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2018
|
Domaine(s) |
|
Mots-clés |
en
Ambiguity, Time consistency, Imprecise probabilistic information
|
DOI | 10.1016/j.jmateco.2018.04.006 |
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