We propose and axiomatically characterize dynamically consistent update rules for decision making under ambiguity. These rules apply to the preferences with multiple priors of Gilboa and Schmeidler (1989), and are the first, for any model of preferences over acts, to be able to reconcile typical...

We propose and axiomatically characterize dynamically consistent update rules for decision making under ambiguity. These rules apply to the preferences with multiple priors of Gilboa and Schmeidler (1989), and are the first, for any model of preferences over acts, to be able to reconcile typical...

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...