Theoretical Economics 2 (2007), 261–298 1555-7561/20070261 Updating preferences withmultiple priors

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 anymodel of preferences over acts, to be able to reconcile typical behavior in the face of ambi-guity (as exemplified by Ellsberg’s paradox) with dynamic consistency for all non-null events. Updating takes the form of applying Bayes ’ rule to subsets of the set of priors, where the specific subset depends on the preferences, the condition-ing event, and the choice problem (i.e., a feasible set of acts together with an act chosen from that set)