A new integral for capacities

Ehud Lehrer ()

Game Theory and Information from University Library of Munich, Germany

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)
Pages: 17 pages
Date: 2005-04-10
New Economics Papers: this item is included in nep-fin
Note: Type of Document - pdf; pages: 17
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/game/papers/0504/0504004.pdf (application/pdf)

Related works:
Journal Article: A new integral for capacities (2009)
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:wpa:wuwpga:0504004

Access Statistics for this paper

More papers in Game Theory and Information from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).