FOURTH INTERNATIONAL SYMPOSIUM ON
IMPRECISE PROBABILITIES AND THEIR APPLICATIONS
Carnegie Mellon University
Pittsburgh, PA, USA
July 20-23 2005

ISIPTA'05 ELECTRONIC PROCEEDINGS

Eran Hanany, Peter Klibanoff

Dynamically Consistent Updating of MaxMin EU and MaxMax EU Preferences

Abstract

This paper presents a new family of nonconsequentialist update rules, each member of which extends full Bayesian updating in a dynamically consistent way to the whole class of max-min EU and max-max EU preferences. Two of the main properties of these rules are: (1) an unconditionally optimally chosen act remains optimal also conditionally; (2) the set of measures in the representation of the conditional preference is obtained by applying Bayes rule to a subset of the set of measures of the unconditional preference.

Keywords. Ambiguity, Dynamic Consistency, Updating, Bayesian

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Authors addresses:

Eran Hanany
Eran Hanany,
Faculty of Engineering,
Tel Aviv University
Ramat Aviv 69978
Israel

Peter Klibanoff
MEDS Dept, Rm 548
Kellogg School of Management
Northwestern University
2001 Sheridan Rd
Evanston, IL 60208 USA

E-mail addresses:

Eran Hanany hananye@post.tau.ac.il
Peter Klibanoff peterk@kellogg.northwestern.edu


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