Core of convex distortions of a probability on a non atomic space

@inproceedings{Carlier2001CoreOC,
  title={Core of convex distortions of a probability on a non atomic space},
  author={G. Carlier and R.-A. Dana},
  year={2001}
}
This paper characterizes the core of a differentiable convex distortion of a probability measure on a non atomic space by identifying it with the set of densities which dominate the derivative of the distortion, for second order stochastic dominance. Furthermore 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 Choquet integral with respect to a distortion of a probability… CONTINUE READING

From This Paper

Figures, tables, results, connections, and topics extracted from this paper.
4 Extracted Citations
20 Extracted References
Similar Papers

Referenced Papers

Publications referenced by this paper.
Showing 1-10 of 20 references

Convex Games and Extreme Points

  • F. Delbaen
  • Journal of Mathematical Analysis and Applications…
  • 1974
Highly Influential
3 Excerpts

Efficient Trading Strategies”, to appear in Journal of Financial Studies

  • C. Jouini, H. Kallal
  • 2000

Stochastic Dominance, Risk, Dispersion and Equilibrium Asset Pricing

  • Dana R.-A
  • Working paper Ceremade
  • 2000

Optima and Equilibria, An Introduction to non Linear Analysis”, Second edition, Springer, Graduate texts in mathematics

  • J P.Aubin
  • 1998
1 Excerpt

Comonotone random variables in Economics, a review of some results

  • A. Chateauneuf, M. Cohen, R. Kast
  • Working Paper Cermsem
  • 1997

New tools to better model behavior under risk and uncertainty : An overview

  • A. Chateauneuf, M. Cohen, I. I. Meilijson
  • Finance 18,
  • 1997
1 Excerpt

A Shur Concave Characterization of Risk Aversion for Non Expected Utility Preferences

  • S. H. Chew, M. H. Mao
  • Journal of Economic Theory,
  • 1995

Non-additive Measures and Integral

  • D. Denneberg
  • 1994
1 Excerpt

Similar Papers

Loading similar papers…