Diversification, Convex Preferences and Non-Empty Core
We show, in the Choquet expected utility model, that prefernece for diversification, that is, convex prefrences, 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 be non-empty. The converse hodls under concavity of the utility index.
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|Date of creation:||1998|
|Contact details of provider:|| Postal: France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France|
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- 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," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00451997, HAL.
- David Schmeidler, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Levine's Working Paper Archive
7662, David K. Levine.
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- Larry Epstein, 1997. "Uncertainty Aversion," Working Papers epstein-97-01, University of Toronto, Department of Economics.
- 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.
- Dekel, Eddie, 1989. "Asset Demands without the Independence Axiom," Econometrica, Econometric Society, vol. 57(1), pages 163-169, January.
- Gerard Debreu & Tjalling C. Koopmans, 1980. "Additively Decomposed Quasiconvex Functions," Cowles Foundation Discussion Papers 574, Cowles Foundation for Research in Economics, Yale University.
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