Characterizing optimism and pessimism directly through comonotonicity
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Pessimism-independence is introduced to characterize pessimistic risk attitudes for the nonlinear-probability models of Schmeidler, Quiggin, and Yaari directly in terms of comonotonicity, rather than through additional conditions such as convexity of preferences. Pessimism-independence requires the mixture of an arbitrary good and a fixed act to be preferred to the mixture of a comonotonic bad act and the fixed act. Thus, more general than full-force independence, it does not exclude the additional (pessimistic) appreciation of the hedging involved in the mixture of a noncomonotonic bad and fixed act. More restrictive than comonotonic independence, it does exclude (optimistic) aversion of hedging.
- choquet integral
- comonotonic independence
- money lotteries