Integral representation with convex capacities that are squeeze of (additive) probability measures

Detalhes bibliográficos
Autor(a) principal: Coimbra-Lisboa, Paulo César
Data de Publicação: 2003
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/12987
Resumo: In this paper I will investigate the conditions under which a convex capacity (or a non-additive probability which exhibts uncertainty aversion) can be represented as a squeeze of a(n) (additive) probability measure associate to an uncertainty aversion function. Then I will present two alternatives forrnulations of the Choquet integral (and I will extend these forrnulations to the Choquet expected utility) in a parametric approach that will enable me to do comparative static exercises over the uncertainty aversion function in an easy way.
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spelling Coimbra-Lisboa, Paulo CésarEscolas::EPGEFGV2014-12-23T13:49:04Z2014-12-23T13:49:04Z2003-10-24http://hdl.handle.net/10438/12987In this paper I will investigate the conditions under which a convex capacity (or a non-additive probability which exhibts uncertainty aversion) can be represented as a squeeze of a(n) (additive) probability measure associate to an uncertainty aversion function. Then I will present two alternatives forrnulations of the Choquet integral (and I will extend these forrnulations to the Choquet expected utility) in a parametric approach that will enable me to do comparative static exercises over the uncertainty aversion function in an easy way.engFundação Getulio Vargas. Escola de Pós-graduação em EconomiaSeminários de Almoço da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessEllsberg paradoxKnightian uncertaintyCapacity (non-additive probability)Uncertainty aversionChoquet integralChoquet expected utilityEconomiaIncerteza (Economia)Economia matemáticaIntegral representation with convex capacities that are squeeze of (additive) probability measuresinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000335473_c679i.pdf000335473_c679i.pdfapplication/pdf1041396https://repositorio.fgv.br/bitstreams/114d25f9-710a-411d-b574-610c220be9b6/downloadc00a7c6f9e4b037c2d261378032b8130MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv Integral representation with convex capacities that are squeeze of (additive) probability measures
title Integral representation with convex capacities that are squeeze of (additive) probability measures
spellingShingle Integral representation with convex capacities that are squeeze of (additive) probability measures
Coimbra-Lisboa, Paulo César
Ellsberg paradox
Knightian uncertainty
Capacity (non-additive probability)
Uncertainty aversion
Choquet integral
Choquet expected utility
Economia
Incerteza (Economia)
Economia matemática
title_short Integral representation with convex capacities that are squeeze of (additive) probability measures
title_full Integral representation with convex capacities that are squeeze of (additive) probability measures
title_fullStr Integral representation with convex capacities that are squeeze of (additive) probability measures
title_full_unstemmed Integral representation with convex capacities that are squeeze of (additive) probability measures
title_sort Integral representation with convex capacities that are squeeze of (additive) probability measures
author Coimbra-Lisboa, Paulo César
author_facet Coimbra-Lisboa, Paulo César
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Coimbra-Lisboa, Paulo César
dc.subject.eng.fl_str_mv Ellsberg paradox
Knightian uncertainty
Capacity (non-additive probability)
Uncertainty aversion
topic Ellsberg paradox
Knightian uncertainty
Capacity (non-additive probability)
Uncertainty aversion
Choquet integral
Choquet expected utility
Economia
Incerteza (Economia)
Economia matemática
dc.subject.por.fl_str_mv Choquet integral
Choquet expected utility
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Incerteza (Economia)
Economia matemática
description In this paper I will investigate the conditions under which a convex capacity (or a non-additive probability which exhibts uncertainty aversion) can be represented as a squeeze of a(n) (additive) probability measure associate to an uncertainty aversion function. Then I will present two alternatives forrnulations of the Choquet integral (and I will extend these forrnulations to the Choquet expected utility) in a parametric approach that will enable me to do comparative static exercises over the uncertainty aversion function in an easy way.
publishDate 2003
dc.date.issued.fl_str_mv 2003-10-24
dc.date.accessioned.fl_str_mv 2014-12-23T13:49:04Z
dc.date.available.fl_str_mv 2014-12-23T13:49:04Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/12987
url http://hdl.handle.net/10438/12987
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Seminários de Almoço da EPGE
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Fundação Getulio Vargas. Escola de Pós-graduação em Economia
publisher.none.fl_str_mv Fundação Getulio Vargas. Escola de Pós-graduação em Economia
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
instname:Fundação Getulio Vargas (FGV)
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instname_str Fundação Getulio Vargas (FGV)
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institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
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