Dynamic Consistency and Ambiguity: A Reappraisal
Dynamic Consistency and Ambiguity: A Reappraisal
复制标题
DOI：
10.2139/ssrn.2268373
复制
发表时间：
2013-08
期刊：
影响因子：
--
通讯作者：
Brian Hill
中科院分区：
文献类型：
--
作者：
Brian Hill
人们普遍认为，动态一致性、结果主义和非预期效用是不相容的。本文的第一个目的是通过隐含的假设来反驳这种论点，即相关的或有事件对应于不确定性的客观解决方案(即，状态空间中的事件)。这些不一定与决策者设想的意外情况相同，我们认为，任何合理的动态一致性概念都涉及后者，而不是前者，即某种意外情况。我们提出了这样一种版本的动态一致性，并证明它与结果主义和非预期效用是兼容的。然后，我们分析了这种新视角的经济后果。一方面，它为在动态选择问题的应用中限制非期望效用模型(如Epstein和Schneider(2003)提出的模型)提供了一个原则性的理由。另一方面，它提供了对信息态度问题的新分析；与标准论点相反，非预期效用下的信息价值是非负的，只要所提供的信息不损害决策者原本期望获得的信息。最后，我们给出了决策者在使用最大最大期望效用规则的情况下所设想的或有事件的表示定理。
It is commonly argued that dynamic consistency, consequentialism and non-expected utility are incompatible. The first aim of this paper is to rebut such arguments, by targeting the implicit assumption that the relevant contingencies correspond to objective resolutions of uncertainty (that is, events in a state space). These are not necessarily the same as the contingencies that the decision maker envisages, and we argue that any reasonable notion of dynamic consistency involves the latter, rather than the former, sort of contingency. We formulate such a version of dynamic consistency and show it to be compatible with consequentialism and non-expected utility. We then analyze the economic consequences of this new perspective. On the one hand, it provides a principled justification for restrictions on non-expected utility models (such as that proposed by Epstein and Schneider (2003)) in applications to dynamic choice problems. On the other hand, it provides a new analysis of the issue of attitude to information; contra standard arguments, the value of information under non-expected utility is non-negative as long as the information offered does not compromise information that the decision maker had otherwise expected to receive. Finally, we give a representation theorem for the contingencies the decision maker envisages, in the case where he uses the maxmin expected utility rule.