Dynamic consistency and ambiguity: A reappraisal

• 成果类型: Article
• 署名作者: Hill, Brian
• 署名单位: Centre National de la Recherche Scientifique (CNRS); Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2019.12.012
• 发表日期: 2020
• 页码: 289-310
• 关键词: Decision under uncertainty; dynamic consistency; dynamic choice; Envisaged contingency; ambiguity; value of information

摘要

The famous conflict between dynamic consistency and ambiguity purportedly undermines these models' normative credibility, and challenges their use in economic applications. Dynamic consistency concerns preferences over contingent plans: so what counts are the contingencies the decision maker envisages - and plans for - rather than independently fixed contingencies, as implicitly assumed in standard formalisations. An appropriate formulation of dynamic consistency resolves the aforementioned conflict, hence undermining the criticisms of ambiguity models based on it. Moreover, it provides a principled justification for the restriction to certain families of beliefs in applications of these models in dynamic choice problems. Finally, it supports a new analysis of the value of information under ambiguity, showing that decision makers may only turn down information if it has an opportunity cost, in terms of the compromising of information they had otherwise expected to receive. (C) 2020 Elsevier Inc. All rights reserved.