Diversification, Convex Preferences and Non-Empty Core

Jean-Marc Tallon () and A. Chateauneuf

Papiers d'Economie Mathématique et Applications from Université Panthéon-Sorbonne (Paris 1)

Abstract: We show, in the Choquet expected utility model, that prefernece for diversification, that is, convex prefrences, is equivalent to a concave utility index and a convex capacity. We then introduce a weaker notion of diversification, namely "sure diversification". We show that this implies that the core of the capacity be non-empty. The converse hodls under concavity of the utility index.

Keywords: UTILITY FUNCTION; PREFERENCE CHOICES (search for similar items in EconPapers)
JEL-codes: D11 (search for similar items in EconPapers)
Date: 1998

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Working Paper: Diversification, Convex Preferences and Non-Empty Core (2000)
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Persistent link: http://EconPapers.repec.org/RePEc:fth:pariem:98.32

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