Published August 9, 2017
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Bayesian consistent prior selection
- Creators
- Chambers, Christopher P.
- Hayashi, Takashi
Abstract
A subjective expected utility agent is given information about the state of the world in the form of a set of possible priors. She is allowed to condition her prior on this information. A set of priors may be updated according to Bayes' rule, prior-by-prior, upon learning that some state of the world has not obtained. We show that there exists no decision maker who obeys Bayes' rule, conditions her prior on the available information (by selecting a prior in the announced set), and who updates the information prior-by- prior using Bayes' rule. The result implies that at least one of several familiar decision theoretic "paradoxes" is a mathematical necessity.
Additional Information
We would like to thank Kim Border, Federico Echenique, Larry Epstein, and Bill Zame for helpful discussions and comments. All errors are our own.Attached Files
Submitted - sswp1238.pdf
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Additional details
- Eprint ID
- 79939
- Resolver ID
- CaltechAUTHORS:20170808-133741084
- Created
-
2017-08-09Created from EPrint's datestamp field
- Updated
-
2020-03-09Created from EPrint's last_modified field
- Caltech groups
- Social Science Working Papers
- Series Name
- Social Science Working Paper
- Series Volume or Issue Number
- 1238