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The convexity-cone approach to comparative risk and downside risk

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Author Info
Massimo Marinacci ()
Luigi Montrucchio ()

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Abstract

We establish a calculus characterization of the core of supermodular games, which reduces the description of the core to the computation of suitable Gateaux derivatives of the Choquet integrals associated with the game. Our result generalizes to infinite games a classic result of Shapley (1971). As a secondary contribution, we provide a fairly complete analysis of the Gateaux and Frechet differentiability of the Choquet integrals of supermodular measure games.

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Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers - Applied Mathematics Series with number 18-2002.

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Length: 38 pages
Date of creation: Apr 2002
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Handle: RePEc:icr:wpmath:18-2002

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  1. Epstein, Larry G. & Marinacci, Massimo, 2001. "The Core of Large Differentiable TU Games," Journal of Economic Theory, Elsevier, vol. 100(2), pages 235-273, October. [Downloadable!] (restricted)
  2. Massimo Marinacci, 1995. "Decomposition and Representation of Coalitional Games," Discussion Papers 1152, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  3. Massimo Marinacci & Luigi Montrucchio, 2001. "Subcalculus for set functions and cores of TU games," ICER Working Papers - Applied Mathematics Series 09-2001, ICER - International Centre for Economic Research. [Downloadable!]
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  4. Massimo Marinacci & Luigi Montrucchio, 2003. "Ultramodular functions," ICER Working Papers - Applied Mathematics Series 13-2003, ICER - International Centre for Economic Research. [Downloadable!]
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This page was last updated on 2009-11-18.


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