Diversification, Convex Preferences and Non-Empty Core
AbstractWe show, in the Choquet expected utility model, that preference for diversification, that is, convex preferences, is equivalent to a concave utility index and a convex capacity. We then introduce a weaker notion of diversification, namely ``sure diversification.'' We show that this implies that the core of the capacity is non-empty. The converse holds under concavity of the utility index. This property is shown to be equivalent to the notion of comonotone diversification\,; notion that we introduce in the paper. Finally, in the expected utility model, all these notions of diversification are equivalent and are represented by the concavity of the utility index.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 0751.
Date of creation: 01 Aug 2000
Date of revision:
Contact details of provider:
Phone: 1 212 998 3820
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC
Other versions of this item:
- Tallon, J.-M. & Chateauneuf, A., 1998. "Diversification, Convex Preferences and Non-Empty Core," Papiers d'Economie MathÃÂ©matique et Applications 98.32, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1).
- D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chateauneuf, Alain, 1991. "On the use of capacities in modeling uncertainty aversion and risk aversion," Journal of Mathematical Economics, Elsevier, vol. 20(4), pages 343-369.
- Wakker, Peter, 1990. "Characterizing optimism and pessimism directly through comonotonicity," Journal of Economic Theory, Elsevier, vol. 52(2), pages 453-463, December.
- Chateauneuf, Alain & Dana, Rose-Anne & Tallon, Jean-Marc, 2000.
"Optimal risk-sharing rules and equilibria with Choquet-expected-utility,"
Journal of Mathematical Economics,
Elsevier, vol. 34(2), pages 191-214, October.
- Alain Chateauneuf & Rose Anne Dana & Jean-Marc Tallon, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00451997, HAL.
- Dekel, Eddie, 1989. "Asset Demands without the Independence Axiom," Econometrica, Econometric Society, vol. 57(1), pages 163-69, January.
- Gerard Debreu & Tjalling C. Koopmans, 1980. "Additively Decomposed Quasiconvex Functions," Cowles Foundation Discussion Papers 574, Cowles Foundation for Research in Economics, Yale University.
- Schmeidler, David, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Econometric Society, vol. 57(3), pages 571-87, May.
- David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
- Larry Epstein, 1997. "Uncertainty Aversion," Working Papers epstein-97-01, University of Toronto, Department of Economics.
- Paolo Ghirardato & Massimo Marinacci, 2000.
"Risk, Ambiguity and the Separation of Utility and Beliefs,"
Econometric Society World Congress 2000 Contributed Papers
1143, Econometric Society.
- Ghirardato, Paolo & Marinacci, Massimo, 2000. "Risk, Ambigity and the Separation of Utility and Beliefs," Working Papers 1085, California Institute of Technology, Division of the Humanities and Social Sciences.
- Massimo Marinacci & Paolo Ghirardato, 2001. "Risk, ambiguity, and the separation of utility and beliefs," ICER Working Papers - Applied Mathematics Series 21-2001, ICER - International Centre for Economic Research.
- Paolo Ghirardato & Massimo Marinacci, 2000. "Risk, Ambiguity, and the Separation of Utility and Beliefs," Levine's Working Paper Archive 7616, David K. Levine.
- Alain Chateauneuf & Ghizlane Lakhnati, 2007.
"From sure to strong diversification,"
Springer, vol. 32(3), pages 511-522, September.
- Alain Chateauneuf & Ghizlane Lakhnati, 2005. "From sure to strong diversification," Cahiers de la Maison des Sciences Economiques b05035, Université Panthéon-Sorbonne (Paris 1).
- Alain Chateauneuf & Ghizlane Lakhnati, 2005. "From sure to strong diversification," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00194670, HAL.
- Alain Chateauneuf & Michel Grabisch & Agnès Rico, 2008.
"Modeling attitudes toward uncertainty through the use of the Sugeno integral,"
UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers)
- Chateauneuf, A. & Grabisch, M. & Rico, A., 2008. "Modeling attitudes toward uncertainty through the use of the Sugeno integral," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1084-1099, December.
- Denuit, M & Dhaene, Jan & Goovaerts, Marc & Kaas, R & Laeven, R, 2005. "Risk measurement with the equivalent utility principles," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/122216, Katholieke Universiteit Leuven.
- repec:ner:dauphi:urn:hdl:123456789/5461 is not listed on IDEAS
- Borglin, Anders & Flåm, Sjur, 2007. "Rationalizing Constrained Contingent Claims," Working Papers 2007:12, Lund University, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.