The no-trade interval of Dow and Werlang: some clarifications

DOI10.1016/J.MATHSOCSCI.2009.09.008MaRDI QIDQ2270329zbMATH OpenOpenAlexFDO

Authors Alain Chateauneuf, Caroline Ventura

Publication date 18 March 2010

Published in Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL https://halshs.archives-ouvertes.fr/halshs-00442861/file/09083.pdf

zbMATH Keywords

capacityChoquet expected utilitycomonotone diversificationno-trade intervalperfect hedging

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Recommendations

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Cites work

• Characterizing optimism amd pessimism directly through comonotonicity
• Diversification, convex preferences and non-empty core in the Choquet expected utility model.
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• Integral Representation Without Additivity
• Portfolio inertia under ambiguity
• Positivity of bid-ask spreads and symmetrical monotone risk aversion
• Prospect Theory: An Analysis of Decision under Risk
• Risk, Ambiguity, and the Separation of Utility and Beliefs
• Subjective Probability and Expected Utility without Additivity
• Symmetrical monotone risk aversion and positive bid-ask spreads
• The Dual Theory of Choice under Risk
• Theory of games and economic behavior.
• Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio

Cited in

(3)

• Endogenous incompleteness of financial markets: the role of ambiguity and ambiguity aversion
• Nondegenerate intervals of no-trade prices for risk averse traders
• Mean-risk analysis with enhanced behavioral content

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