# Diversification, convex preferences and non-empty core in the Choquet expected utility model

*Jean-Marc Tallon* () and
*Alain Chateauneuf* ()

*Economic Theory*, 2002, vol. 19, issue 3, 509-523

**Abstract:**
We show, in the Choquet expected utility model, that preference for diversification, that is, convex preferences, 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 is non-empty. The converse holds under concavity of the utility index, which is itself equivalent to the notion of comonotone diversification, that we introduce. In an Anscombe-Aumann setting, preference for diversification is equivalent to convexity of the capacity and preference for sure diversification is equivalent to non-empty core. In the expected utility model, all these notions of diversification are equivalent and are represented by the concavity of the utility index.

**Keywords:** Diversification; Choquet expected utility; Capacity; Convex preferences; Core. (search for similar items in EconPapers)

**Date:** 2001-12-20

**Note:** Received: July 27, 1999; revised version: November 7, 2000

**References:** Add references at CitEc

**Citations:** Track citations by RSS feed

**Downloads:** (external link)

http://link.springer.de/link/service/journals/00199/papers/2019003/20190509.pdf (application/pdf)

Access to the full text of the articles in this series is restricted

**Related works:**

Working Paper: Diversification, convex preferences and non-empty core in the Choquet expected utility model (2002)

This item may be available elsewhere in EconPapers: Search for items with the same title.

**Export reference:** BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text

**Persistent link:** https://EconPapers.repec.org/RePEc:spr:joecth:v:19:y:2002:i:3:p:509-523

**Ordering information:** This journal article can be ordered from

http://www.springer. ... eory/journal/199/PS2

Access Statistics for this article

Economic Theory is currently edited by *Nichoals Yanneils*

More articles in Economic Theory from Springer, Society for the Advancement of Economic Theory (SAET) Contact information at EDIRC.

Bibliographic data for series maintained by Sonal Shukla ().