A new integral for capacities
AbstractA new integral for capacities, different from the Choquet integral, is introduced and characterized. The main feature of the new integral is concavity, which might be interpreted as uncertainty aversion. The integral is then extended to fuzzy capacities, which assign subjective expected values to random variables (e.g., portfolios) and may assign subjective probability only to a partial set of events. An equivalence between minimum over sets of additive capacities (not necessarily probability distributions) and the integral w.r.t. fuzzy capacities is demonstrated. The extension to fuzzy capacities enables one to calculate the integral also when there is information only about a few events and not about all of them.
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Bibliographic InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 39 (2009)
Issue (Month): 1 (April)
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Web page: http://link.springer.de/link/service/journals/00199/index.htm
Other versions of this item:JEL classification:
- C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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