NDLI: Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty

Content Provider	Springer Nature Link
Author	Kast, Robert Lapied, André
Copyright Year	2008
Abstract	We consider future cash flows that are contingent both on dates in time and on uncertain states. The decision maker (DM) values the cash flows according to its decision criterion: Here, the payoffs’ expectation with respect to a capacity measure. The subjective measure grasps the DM’s behaviour in front of the future, in the spirit of de Finetti’s (1930) and of Yaari’s (1987) Dual Theory in the case of risk. Decomposition of the criterion into two criteria that represent the DM’s preferences on uncertain payoffs and time contingent payoffs are derived from Ghirardato’s (1997) results. Conditional Choquet integrals are defined by dynamic consistency (DC) requirements and conditional capacities are derived, under some conditions on information. In contrast with other models referring to DC, ours does not collapse into a linear one because it violates a weak version of consequentialism.
Starting Page	27
Ending Page	53
Page Count	27
File Format	PDF
ISSN	00405833
Journal	Theory and Decision
Volume Number	69
Issue Number	1
e-ISSN	15737187
Language	English
Publisher	Springer US
Publisher Date	2008-05-15
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Capacities Comonotonicity Conditional Choquet integrals Conditional capacities Discount factors Information Product spaces Subjective measures Operations Research/Decision Theory Methodology of the Social Sciences Game Theory, Economics, Social and Behav. Sciences Game Theory/Mathematical Methods Economic Theory
Content Type	Text
Resource Type	Article
Subject	Arts and Humanities Economics, Econometrics and Finance Developmental and Educational Psychology Social Sciences Decision Sciences Applied Psychology Computer Science Applications

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