Recursive multiple-priors

• 成果类型: Article
• 署名作者: Epstein, LG; Schneider, M
• 署名单位: University of Rochester; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(03)00097-8
• 发表日期: 2003
• 页码: 1-31
• 关键词: Ambiguity; multiple-priors; dynamic consistency; Ellsberg paradox; Robust control; updating beliefs; recursive utility

摘要

This paper axiomatizes an intertemporal version of multiple-priors utility. A central axiom is dynamic consistency, which leads to a recursive structure for utility, to 'rectangular' sets of priors and to prior-by-prior Bayesian updating as the updating rule for such sets of priors. It is argued that dynamic consistency is intuitive in a wide range of situations and that the model is consistent with a rich set of possibilities for dynamic behavior under ambiguity. (C) 2003 Elsevier Science (USA). All rights reserved.