Nonmonotonic Choquet integrals

被引：51

作者：

De Waegenaere, A ^{[1
]}

Wakker, PP ^{[1
]}

机构：

[1] Tilburg Univ, Ctr Econ Res, NL-5000 LE Tilburg, Netherlands

来源：

JOURNAL OF MATHEMATICAL ECONOMICS | 2001年 / 36卷 / 01期

关键词：

Choquet integral; comonotonicity; rank dependence; intertemporal preference; asset pricing;

D O I：

10.1016/S0304-4068(01)00064-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper shows how the signed Choquet integral, a generalization of the regular Choquet integral can model violations of separability and monotonicity. Applications to intertemporal preference, asset pricing, and welfare evaluations are discussed. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：45 / 60

页数：16

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