Dynamically Consistent Conditional Choquet Capacities

Preferences of a Decision Maker define a valuation function on future uncertain payoffs. Consistency of this unconditional valuation function with valuation conditional on information arrivals is justified by a no Money Pump argument. A result on the updating of capacities is obtained in a static framework. Then the arguments are developed in a model where the future payoffs are contingents on two components: uncertain states and future dates. We obtain results on updating capacities on the uncertain states and “upstating” capacities (discount factors) on future dates in a special case. These results are shown to violate consequentialism.