Characterizing optimism and pessimism directly though comonotonicity
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| Publication date | 1990 |
| Journal | Journal of Economic Theory |
| Volume | Issue number | 52 | 2 |
| Pages (from-to) | 453-463 |
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| Abstract | Schmeidler (1982) introduced comonotonic independence to characterize nonadditivity of probabilities. This note obtains natural and very simple characterizations of convexity, concavity (and additivity) of nonadditive probabilities, by relating these directly to the pessimism and optimism inherent in comonotonicity. |
| Document type | Article |
| Language | English |
| Published at | https://doi.org/10.1016/0022-0531(90)90043-J |
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