Diversification, Convex Preferences and Non-Empty Core
Jean-Marc Tallon () and
Alain Chateauneuf ()
Papiers d'Economie MathÃ©matique et Applications from UniversitÃ© PanthÃ©on-Sorbonne (Paris 1)
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)
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Working Paper: Diversification, Convex Preferences and Non-Empty Core (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:98.32
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