Choquet Integrals With Respect to Non-Monotonic Set Functions

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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.
Original languageEnglish
Place of PublicationTilburg
PublisherAccounting
Number of pages25
Volume1997-44
Publication statusPublished - 1997

Publication series

NameCentER Discussion Paper
Volume1997-44

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Keywords

  • Choquet integral
  • comonotonicity
  • arbitrage
  • time preference

Cite this

De Waegenaere, A. M. B., & Wakker, P. P. (1997). Choquet Integrals With Respect to Non-Monotonic Set Functions. (CentER Discussion Paper; Vol. 1997-44). Tilburg: Accounting.
De Waegenaere, A.M.B. ; Wakker, P.P. / Choquet Integrals With Respect to Non-Monotonic Set Functions. Tilburg : Accounting, 1997. (CentER Discussion Paper).
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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.",
keywords = "Choquet integral, comonotonicity, arbitrage, time preference",
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note = "Pagination: 25",
year = "1997",
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De Waegenaere, AMB & Wakker, PP 1997 'Choquet Integrals With Respect to Non-Monotonic Set Functions' CentER Discussion Paper, vol. 1997-44, Accounting, Tilburg.

Choquet Integrals With Respect to Non-Monotonic Set Functions. / De Waegenaere, A.M.B.; Wakker, P.P.

Tilburg : Accounting, 1997. (CentER Discussion Paper; Vol. 1997-44).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Choquet Integrals With Respect to Non-Monotonic Set Functions

AU - De Waegenaere, A.M.B.

AU - Wakker, P.P.

N1 - Pagination: 25

PY - 1997

Y1 - 1997

N2 - 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.

AB - 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.

KW - Choquet integral

KW - comonotonicity

KW - arbitrage

KW - time preference

M3 - Discussion paper

VL - 1997-44

T3 - CentER Discussion Paper

BT - Choquet Integrals With Respect to Non-Monotonic Set Functions

PB - Accounting

CY - Tilburg

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De Waegenaere AMB, Wakker PP. Choquet Integrals With Respect to Non-Monotonic Set Functions. Tilburg: Accounting. 1997. (CentER Discussion Paper).