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Diversification, Convex Preferences and Non-Empty Core

  • Tallon, J.-M.
  • Chateauneuf, A.

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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Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Papiers d'Economie Mathématique et Applications with number 98.32.

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Length: 14 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:pariem:98.32
Contact details of provider: Postal: France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France
Phone: + 33 44 07 81 00
Fax: + 33 1 44 07 83 01
Web page: http://cermsem.univ-paris1.fr/

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  1. Wakker, Peter, 1990. "Characterizing optimism and pessimism directly through comonotonicity," Journal of Economic Theory, Elsevier, vol. 52(2), pages 453-463, December.
  2. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
  3. Gerard Debreu & Tjalling C. Koopmans, 1980. "Additively Decomposed Quasiconvex Functions," Cowles Foundation Discussion Papers 574, Cowles Foundation for Research in Economics, Yale University.
  4. Tallon, Jean-Marc & Dana, Rose-Anne & Chateauneuf, Alain, 2000. "Optimal risk-sharing rules and equilibria with Choquet-expected-utility," Economics Papers from University Paris Dauphine 123456789/5461, Paris Dauphine University.
  5. Larry Epstein, 1997. "Uncertainty Aversion," Working Papers epstein-97-01, University of Toronto, Department of Economics.
  6. 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.
  7. Dekel, Eddie, 1989. "Asset Demands without the Independence Axiom," Econometrica, Econometric Society, vol. 57(1), pages 163-69, January.
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