Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty

DOI10.1007/S11238-008-9107-1zbMATH Open1232.91133OpenAlexW2048499611MaRDI QIDQ989916FDOQ989916

Authors: Robert Kast, André Lapied 

Publication date: 23 August 2010

Published in: Theory and Decision (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11238-008-9107-1

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zbMATH Keywords

informationcomonotonicityproduct spacescapacitiesdiscount factorsconditional capacitiesconditional Choquet integralssubjective measures

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Financial applications of other theories (91G80)

Cites Work

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• Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty

Cited In (11)

• A vague multidimensional dependency structure: conditional versus unconditional fuzzy copula models
• Option implied ambiguity and its information content: evidence from the subprime crisis
• Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty
• Additive valuations of streams of payoffs that satisfy the time value of money principle: A characterization and robust optimization
• Comparison of Random Cash Flows
• Choquet-based European option pricing with stochastic (and fixed) strikes
• Individual antecedents of real options appraisal: the role of national culture and ambiguity
• \(\mathcal G\)-continuity, impatience and myopia for Choquet multi-period utilities
• Monetary valuation of cash flows under Knightian uncertainty
• Conditioning capacities and Choquet integrals: the role of comonotony
• Asymmetric Choquet random walks and ambiguity aversion or seeking

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