The Ex-Ante Non-Optimality of the Dempster-Schafer Updating Rule for Ambiguous Beliefs (A Commentary on "Updating Ambiguous Beliefs' by Gilboa and Schmeidler)
نویسندگان
چکیده
The most widely used updating rule for non-additive probabilities is the Dempster-Schafer rule. Schmeidler and Gilboa have developed a model of decision making under uncertainty based on non-additive probabilities, and in their paper "Updating Ambiguous Beliefs" they justify the Dempster-Schafer rule based on a maximum likelihood procedure. This note shows in the context of Schmeidler-Gilboa preferences under uncertainty, that the Dempster-Schafer rule is in general not ex-ante optimal. This contrasts with Brown's result that Bayes' rule is ex-ante optimal for standard Savage preferences with additive probabilities.
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