Objective rationality and recursive multiple priorsFederica Ceron (GATE L-SE, UJM) and Vassili Vergopoulos (Univ. Paris 2)
Title : Objective rationality and recursive multiple priors
Authors : Federica Ceron (GATE L-SE, UJM) and Vassili Vergopoulos (Univ. Paris 2)
Abstract :
We provide an axiomatic characterization of recursive MaxMin preferences that stem from a (possibly) incomplete relation representing preference judgements that are justified by objective probabilistic information. To ensure that her choice behavior be informed by objective information, dynamically consistent, and ambiguity averse, the decision-maker evaluates alternatives by their minimal expected value over the rectangular hull of the objective information set. The characterization builds upon two axioms that naturally combine the three requirements in a behavioral way. Our main result suggests a principled justification for the use of recursive MaxMin preferences in applications to dynamic choice problems.
Published in : Journal of Mathematical Economics, (2022)
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