World Conference Econometric Society, 2000, Seattle

Alain Chateauneuf, CERMSEM, Universite Paris I Jean-Marc Tallon, Universite Paris 1 |

Diversification, Convex Preferences and Non-Empty Core |

Session: C-6-6 Sunday 13 August 2000 by Tallon, Jean-Marc |

We show, in the Choquet expected utility model, that preference for diversification, that is, convex preferences, is equivalent to a concave utility index and a convex capacity. We then introduce a weaker notion of diversification, namely ``sure diversification.'' We show that this implies that the core of the capacity is non-empty. The converse holds under concavity of the utility index. This property is shown to be equivalent to the notion of comonotone diversification\,; notion that we introduce in the paper. Finally, in the expected utility model, all these notions of diversification are equivalent and are represented by the concavity of the utility index. |

Submitted paper full-text in .pdf |

File created by Jurgen Doornik with eswc2000.ox on 2-01-2001