A new integral for capacities

Ehud Lehrer ()

Game Theory and Information from EconWPA

Abstract: A new integral for capacities, different from the Choquet integral, is introduced and characterized. The main feature of the new integral is concavity, which might be interpreted as uncertainty aversion. The integral is then extended to fuzzy capacities, which assign subjective expected values to random variables (e.g., portfolios) and may assign subjective probability only to a partial set of events. An equivalence between minimum over sets of additive capacities (not necessarily probability distributions) and the integral w.r.t. fuzzy capacities is demonstrated. The extension to fuzzy capacities enables one to calculate the integral also when there is information only about a few events and not about all of them.

Keywords: new integral; capacity; choquet integral; fuzzy capacity; concavity (search for similar items in EconPapers)
JEL-codes: C7 D80 D81 D84 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2005-04-10
Note: Type of Document - pdf; pages: 17
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpga:0504004

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