Iterated Choquet expectations: A possibility result

Contrary to Yoo’s (1991) [Yoo, K.-R., 1991. The iterative law of expectation and non-additive probability measure. Economics Letters 37, 145–149] result, it is shown that the law of iterated expectations can be maintained in the class of Choquet expected utility preferences, even though beliefs are non-additive. Choquet integrals satisfy the law of iterated expectations on a fixed partition if and only if the unconditional capacity is additively separable among the events forming that partition, and the conditional capacity is derived by applying Bayes’ rule.