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Core of convex distortions of a probability

Carlier, Guillaume; Dana, Rose-Anne (2003), Core of convex distortions of a probability, Journal of Economic Theory, 113, 2, p. 199-222. http://dx.doi.org/10.1016/S0022-0531(03)00122-4

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Type
Article accepté pour publication ou publié
Date
2003
Journal name
Journal of Economic Theory
Volume
113
Number
2
Publisher
Elsevier
Pages
199-222
Publication identifier
http://dx.doi.org/10.1016/S0022-0531(03)00122-4
Metadata
Show full item record
Author(s)
Carlier, Guillaume
Dana, Rose-Anne
Abstract (EN)
This paper characterizes the core of a differentiable convex distortion of a probability measure on a nonatomic space by identifying it with the set of densities which dominate the derivative of the distortion, for second order stochastic dominance. The densities that have the same distribution as the derivative of the distortion are the extreme points of the core. These results are applied to the differentiability of a Yaari's or Rank Dependent Expected utility function. The superdifferential of a Choquet integral at any point is fully characterized. Examples of use of these results in simple models where some agent is a RDEU maximizer are given.
Subjects / Keywords
Convex distortion; Derivative and superdifferential of a Choquet integral; Core; Capacity
JEL
D8 - Information, Knowledge, and Uncertainty
C0 - General

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