Characterizing optimism amd pessimism directly through comonotonicity

DOI10.1016/0022-0531(90)90043-JMaRDI QIDQ2640420zbMATH OpenOpenAlexFDO

Authors Peter P. Wakker

Publication date 1990

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0022-0531(90)90043-j

zbMATH Keywords

comonotonicitynonlinear-probability modelspessimistic risk attitudes

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

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Cites work

• A behavioral foundation for fuzzy measures
• A Definition of Subjective Probability
• An Axiomatic Approach to Measurable Utility
• Continuous subjective expected utility with non-additive probabilities
• Expected utility with purely subjective non-additive probabilities
• scientific article; zbMATH DE number 4087374 (Why is no real title available?)
• scientific article; zbMATH DE number 41812 (Why is no real title available?)
• scientific article; zbMATH DE number 3014822 (Why is no real title available?)
• On Qualitative Probability $/sigma$-Algebras
• Rational Behavior, Uncertain Prospects, and Measurable Utility
• Representation of capacities
• Risk aversion in the theory of expected utility with rank dependent probabilities
• Robust Statistics
• Subjective expected utility with non-additive probabilities on finite state spaces
• Subjective Probability and Expected Utility without Additivity
• The Dual Theory of Choice under Risk
• Theory of capacities
• Under stochastic dominance Choquet-expected utility and anticipated utility are identical

Cited in

(37)

• Do sunspots matter when agents are Choquet-expected-utility maximizers?
• Loss aversion in a multi-period model
• Uncertainty aversion in nonprobabilistic decision models
• Separating marginal utility and probabilistic risk aversion
• A theory of expected utility with nonadditive probability
• Modeling attitudes towards uncertainty and risk through the use of Choquet integral
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Comonotonic book making and attitudes to uncertainty.
• Ambiguous games
• The role of optimism and pessimism in the dynamics of emotional states
• The comonotonic sure-thing principle
• Games in context: equilibrium under ambiguity for belief functions
• The impact of experience on decisions based on pre-choice samples and the face-or-cue hypothesis
• Composition rules in original and cumulative prospect theory
• Individual antecedents of real options appraisal: the role of national culture and ambiguity
• The no-trade interval of Dow and Werlang: some clarifications
• A powerful tool for analyzing concave/convex utility and weighting functions
• The effect of environmental uncertainty on the tragedy of the commons
• Decomposition-integral: unifying Choquet and the concave integrals
• Patience in some non-additive models
• About delay aversion
• Ambiguity and the Bayesian paradigm
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• Ignorance and competence in choices under uncertainty
• Uncertainty aversion and portfolio inertia
• Common belief in Choquet rationality and ambiguity attitudes (extended abstract)
• Optimal sharing with an infinite number of commodities in the presence of optimistic and pessimistic agents
• Diversification preferences in the theory of choice
• Equivalence classes of coherent projectors in a Hilbert space with prime dimension: Q functions and their Gini index
• Ultra-quantum coherent states in a single finite quantum system
• Choquet expected discounted utility
• Alpha-maxmin as an aggregation of two selves
• Accounting for optimism and pessimism in expected utility
• Gain-loss hedging and cumulative prospect theory
• Partial order and topology of Hermitian matrices and quantum Choquet integrals for density matrices with given expectation values
• Rank-dependent pessimism and its divergence from maxmin expected utility
• The behavioural components of risk aversion

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