Abstract

This note completes the main result of Zimper, by showing that additional conditions are needed in order the law of iterated expectations to hold true for Choquet decision makers. Due to the comonotonic additivity of Choquet expectations, the equation E[f, ν] = E[E[f, ν], ν], is valid only when the act f is comonotonic with its dynamic form, that we name “conditional certainty equivalent act”.