Journal of Applied Mathematics
- J. Appl. Math.
- Volume 2003, Number 9 (2003), 447-458.
On the existence of certainty equivalents of various relevant types
We tackle the problem of associating certainty equivalents with preferences over stochastic situations, which arises in a number of different fields (e.g., the theory of risk attitudes or the analysis of stochastic cooperative games). We study the possibility of endowing such preferences with certainty equivalence functionals that satisfy relevant requirements (such as positive homogeneity, translation invariance, monotonicity with respect to first-order stochastic dominance, and subadditivity). Uniqueness of the functional is also addressed in fairly general conditions.
J. Appl. Math., Volume 2003, Number 9 (2003), 447-458.
First available in Project Euclid: 15 September 2003
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 91B06: Decision theory [See also 62Cxx, 90B50, 91A35] 91B16
Alcantud, J. C. R.; Bosi, G. On the existence of certainty equivalents of various relevant types. J. Appl. Math. 2003 (2003), no. 9, 447--458. doi:10.1155/S1110757X03207075. https://projecteuclid.org/euclid.jam/1063629205