Choquet Integrals With Respect to Non-Monotonic Set Functions

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.

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Year of publication:	1997
Authors:	De Waegenaere, Anja ; Wakker, P.P.
Institutions:	Tilburg University, Center for Economic Research
Subject:	Choquet integral \| comonotonicity \| arbitrage \| time preference

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Extent:	application/pdf
Series:	Discussion Paper.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series CentER Discussion Paper Number 1997-44
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011092749