Dual theory of choice with multivariate risks (Q435913)
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scientific article; zbMATH DE number 6055202
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dual theory of choice with multivariate risks |
scientific article; zbMATH DE number 6055202 |
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Dual theory of choice with multivariate risks (English)
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13 July 2012
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Yaare dual theory
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multidimensional prospects
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multivariate comonotomicity
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local utility function
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From the conclusion: ``\dots decision makers that are sensitive to hedging of comonotonic risks are shown to evaluate prospects using a weighted sum of quantiles. Risk averse decision makers were shown to be characterized within this framework by a reference distribution, making the dual theory as readily applicable as expected utility.''NEWLINENEWLINE The authors also discuss other multivariate notions of comontonicity, especially a generalization by Schmeidler. The generalizations of Schmeidler and of the authors are equivalent for dimension 1; in higher dimensions, neither of these two concepts implies the other.
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