Re-examining the law of iterated expectations for Choquet decision makers |
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Authors: | Alexander Zimper |
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Institution: | 1.School of Economic and Business Sciences,University of the Witwatersrand,Johannesburg,South Africa |
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Abstract: | Yoo (Economic Letters 37:145–149, 1991) argues that the law of iterated expectations must be violated if the probability measure
of a Choquet decision maker is non-additive. In this article, we prove the positive result that the law of iterated expectations
is satisfied for Choquet decision makers whenever they update their non-additive beliefs in accordance with the Sarin and
Wakker (Journal of Risk and Uncertainty 16:223–250, 1998) update rule. The formal key to this result is the act-dependence
of the Sarin–Wakker update rule, which does not hold for the update rules considered by Yoo (1991). |
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Keywords: | |
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