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Choquet Integrals With Respect to Non-Monotonic Set Functions

De Waegenaere,A.M.B.
; 
Wakker,P.P.
Abstract
This paper introduces the signed Choquet integral, i.e., a nonmonotonic generalization of the Choquet integral. Applications to welfare theory, multi-period optimization, and asset pricing are described.
Description
Pagination: 25
Date
1997
Journal Title
Journal ISSN
Volume Title
Publisher
Accounting
Collections
Tilburg University Research Output Collection
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44.pdf
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Keywords
Choquet integral, comonotonicity, arbitrage, time preference
Citation
De Waegenaere, A M B & Wakker, P P 1997 'Choquet Integrals With Respect to Non-Monotonic Set Functions' CentER Discussion Paper, vol. 1997-44, Accounting, Tilburg.
URI
https://hdl.handle.net/20.500.14602/26402
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