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Complete Monotone Quasiconcave Duality

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Author Info

  • Simone Cerreia-Vioglio
  • Fabio Maccheroni
  • Massimo Marinacci
  • Luigi Montrucchio

Abstract

We introduce a notion of complete monotone quasiconcave duality and we show that it holds for important classes of quasiconcave functions.

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File URL: http://www.carloalberto.org/assets/working-papers/no.80.pdf
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Bibliographic Info

Paper provided by Collegio Carlo Alberto in its series Carlo Alberto Notebooks with number 80.

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Length: 49 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:cca:wpaper:80

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Related research

Keywords: Quasiconcavity; Quasiconvexity; Duality; Indirect Utility;

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References

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  1. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2004. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Carlo Alberto Notebooks 12, Collegio Carlo Alberto, revised 2006.
  2. Crouzeix, J. -P., 1983. "Duality between direct and indirect utility functions : Differentiability properties," Journal of Mathematical Economics, Elsevier, vol. 12(2), pages 149-165, October.
  3. Massimo Marinacci & Luigi Montrucchio, 2006. "On Concavity and Supermodularity," Carlo Alberto Notebooks 5, Collegio Carlo Alberto.
  4. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2008. "Uncertainty Averse Preferences," Carlo Alberto Notebooks 77, Collegio Carlo Alberto.
  5. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2008. "Risk Measures: Rationality and Diversification," Carlo Alberto Notebooks 100, Collegio Carlo Alberto.
  6. Martinez-Legaz, J. -E., 1991. "Duality between direct and indirect utility functions under minimal hypotheses," Journal of Mathematical Economics, Elsevier, vol. 20(2), pages 199-209.
  7. Newman, Peter, 1969. "Some properties of concave functions," Journal of Economic Theory, Elsevier, vol. 1(3), pages 291-314, October.
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Citations

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Cited by:
  1. Simone Cerreia-Vioglio, 2011. "Objective Rationality and Uncertainty Averse Preferences," Working Papers 413, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  2. Sigrid K\"allblad, 2013. "Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals," Papers 1311.7419, arXiv.org.
  3. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2012. "Niveloids and Their Extensions:Risk Measures on Small Domains," Working Papers 458, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  4. Marco Frittelli & Marco Maggis, 2012. "Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type," Papers 1201.1788, arXiv.org, revised Sep 2012.
  5. Marco Frittelli & Marco Maggis, 2010. "Dual Representation of Quasiconvex Conditional Maps," Papers 1001.3644, arXiv.org, revised Jan 2010.

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