Dynamically Consistent Preferences Under Imprecise Probabilistic Information
Pré-publication, Document de travail: 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, Jean-Marc Tallon, Vassili Vergopoulos
Date de publication
- 2017
Mots-clés JEL
Mots-clés
- Imprecise information
- Imprecision aversion
- Multiple priors
- Dynamic consistency
Référence interne
- PSE Working Papers n°2017-15
URL de la notice HAL
Version
- 1