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Re-examining the law of iterated expectations for Choquet decision makers

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Abstract

Yoo (Economic Letters 37:145–149, 1991) argues that the law of iterated expectations must be violated if the probability measure of a Choquet decision maker is non-additive. In this article, we prove the positive result that the law of iterated expectations is satisfied for Choquet decision makers whenever they update their non-additive beliefs in accordance with the Sarin and Wakker (Journal of Risk and Uncertainty 16:223–250, 1998) update rule. The formal key to this result is the act-dependence of the Sarin–Wakker update rule, which does not hold for the update rules considered by Yoo (1991).

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  1. School of Economic and Business Sciences, University of the Witwatersrand, 2050, Johannesburg, South Africa

    Alexander Zimper

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  1. Alexander Zimper
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Correspondence to Alexander Zimper.

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Zimper, A. Re-examining the law of iterated expectations for Choquet decision makers. Theory Decis 71, 669–677 (2011). https://doi.org/10.1007/s11238-010-9221-8

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