Characterizing optimism and pessimism directly though comonotonicity

Authors
  • P. Wakker
Publication date 1990
Journal Journal of Economic Theory
Volume | Issue number 52 | 2
Pages (from-to) 453-463
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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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