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Papers by jean philippe Lefort

This note shows that capacities satisfying the axioms consquentialism, state independence and con... more This note shows that capacities satisfying the axioms consquentialism, state independence and conditional certainty equivalent consistency under updating are a generalised version of neoadditive capacities as axiomatised in Chateauneuf, Eichberger, and Grant (2007).

International Journal of Economic Theory, 2012

This paper shows that, for CEU preferences, the axioms consquentialism, state independence and co... more This paper shows that, for CEU preferences, the axioms consquentialism, state independence and conditional certainty equivalent consistency under updating characterise a family of capacities, called Genralised Neo-Additive Capacities (GNAC). This family contains as special cases among others neo-additive capacities as introduced by Chateauneuf, Eichberger, and Grant (2007), Hurwicz capacities, and ε-contaminations. Moreover, we will show that the convex version of a GNAC is the only capacity for which the core of the Full-Bayesian Updates of a capacity, introduced by Jaffray (1992), equals the set of Bayesian updates of the probability distributions in the core of the original capacity

We give some Fubini's theorems (interversion of the order of integration and product capaciti... more We give some Fubini's theorems (interversion of the order of integration and product capacities) in the framework of the Choquet integral for product sigma-algebras. Following Ghirardato this is performed by considering slice-comonotonic functions. Our results can be easily interpreted for belief functions, in the Dempster and Shafer setting.

Proceedings of the 13th Conference on Theoretical Aspects of Rationality and Knowledge, 2011

In this paper we characterize the conditions under which it is impossible for non-Bayesian agents... more In this paper we characterize the conditions under which it is impossible for non-Bayesian agents to "agree to disagree" on their individual decisions. The agents are Choquet expected utility maximizers in the spirit of Schmeidler (1989, Econometrica 57, 571-587). Under the assumption of a common prior capacity distribution, it is shown that whenever each agent's information partition is composed of unambiguous events in the sense of Nehring (1999, Mat. Soc. Sci. 38, 197-213), then it is impossible that the agents disagree on common knowledge decisions, whether they are either posterior capacities or posterior Choquet expectations. Conversely, an agreement on posterior Choquet expectations-but not on posterior capacities-implies that each agent's private information consists of Nehring-unambiguous events. These results indicate that under ambiguity-contrary to the standard Bayesian framework-asymmetric information matters and can explain differences in common knowledge decisions due to the ambiguous nature of agents' private information.

Mathematical Social Sciences, 2012

In this paper we extend the results on ex-ante agreeable trade of Kajii and Ui [Kajii, A., Ui, T.... more In this paper we extend the results on ex-ante agreeable trade of Kajii and Ui [Kajii, A., Ui, T., 2006. Agreeable bets with multiple priors. Journal of Economic Theory 128, 299-305] to the case of nonconvex Choquet preferences. We discuss the economic relevance of the main result for the existence of speculative trade under ambiguity. Following Haller [Haller, H., 1990. Non-market reopening, timeconsistent plans and the structure of intertemporal preferences. Economics Letters 32, 1-5] we also elaborate the relevance of updating preferences upon arrival of public information for the potential of re-contracting initial contingent claims.

International Journal of Approximate Reasoning, 2008

Since the seminal paper of Ghirardato, it is known that Fubini Theorem for non-additive measures ... more Since the seminal paper of Ghirardato, it is known that Fubini Theorem for non-additive measures can be available only for functions defined as "slice-comonotonic". We give different assumptions that provide such Fubini theorems in the framework of product σ-algebras.

Games and Economic Behavior, 2012

Two rationality arguments are used to justify the link between conditional and unconditional pref... more Two rationality arguments are used to justify the link between conditional and unconditional preferences in decision theory: dynamic consistency and consequentialism. Dynamic consistency requires that ex ante contingent choices are respected by updated preferences. Consequentialism states that only those outcomes which are still possible can matter for updated preferences. We test the descriptive validity of these rationality arguments with a dynamic version of Ellsberg's three color experiment and nd that subjects act more often in line with consequentialism than with dynamic consistency.

Economic Theory, 2009

This paper explores the relationship between dynamic consistency and the existing notions of unam... more This paper explores the relationship between dynamic consistency and the existing notions of unambiguous events for Choquet expected utility preferences. A decision maker is faced with an information structure represented by a filtration. We show that the decision maker's preferences respect dynamic consistency on a fixed filtration if and only if the last stage of the filtration is composed of unambiguous events in the sense of Nehring (1999). Adopting two axioms, conditional certainty equivalence consistency and constrained dynamic consistency to filtration measurable acts, it is shown that the decision maker respects these two axioms on a fixed filtration if and only if the last stage of the filtration is made up of unambiguous events the sense of Zhang (2002).

Economic Theory, 2011

In this paper, we extend Aumann's (Ann Stat 4:1236-1239, 1976) probabilistic agreement theorem to... more In this paper, we extend Aumann's (Ann Stat 4:1236-1239, 1976) probabilistic agreement theorem to situations in which agents' prior beliefs are represented by a common neo-additive capacity. In particular, we characterize the family of updating rules for neo-additive capacities, which are necessary and sufficient for the impossibility of "agreeing to disagree" on the values of posterior capacities as well as on the values of posterior Choquet expectations for binary acts. Furthermore, we show that generalizations of this result to more general acts are impossible. Keywords Ambiguity • Neo-additive capacities • Choquet expected utility • Asymmetric information • Common knowledge • Agreement theorem JEL Classification D70 • D81 • D82 The authors wish to thank Jürgen Eichberger, Konrad Grabiszewski, Nicholas Yannelis, Wendelin Schnedler and an anonymous referee for their valuable comments.

Management Science, 2021

Experiments detecting ambiguity aversion often rely on the assumption that probabilities are exog... more Experiments detecting ambiguity aversion often rely on the assumption that probabilities are exogenously given for some uncertain events. However, the canonical models that accommodate ambiguity into economic theory, such as the maxmin expected utility (MEU) and Choquet expected utility (CEU) models, are purely subjective. These models do not specify how subjects could incorporate exogenous probabilities into decisions. We study two approaches for embedding exogenous probabilities in the context of the thought experiments suggested by Mark Machina. We show that Machina’s choice behavior entails fundamentally different consequences for the ambiguity models mentioned; although it violates the CEU model, it is consistent with the MEU model. For the latter model, Machina’s experiments can test whether individuals adhere to expected utility for prospects whose consequences occur with the exogenously given probabilities. This paper was accepted by Manel Baucells, decision analysis.